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A dynamic game approach to mixed H ∞ / H 2 estimation
Author(s) -
Theodor Y.,
Shaked U.
Publication year - 1996
Publication title -
international journal of robust and nonlinear control
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.361
H-Index - 106
eISSN - 1099-1239
pISSN - 1049-8923
DOI - 10.1002/(sici)1099-1239(199605)6:4<331::aid-rnc236>3.0.co;2-9
Subject(s) - estimator , mathematical optimization , control theory (sociology) , degradation (telecommunications) , mathematics , quadratic equation , minimax estimator , sequential game , computer science , game theory , minimum variance unbiased estimator , control (management) , statistics , mathematical economics , artificial intelligence , telecommunications , geometry
A deterministic, two‐person, zero‐sum, linear quadratic estimation game, which is closely related to the mixed H ∞ / H 2 estimation problem, is introduced. The strategy of the estimator in this game must guarantee a prescribed H ∞ ‐performance level γ. If the desired H ∞ ‐performance level is not achieved by an H 2 ‐optimal estimator, the H 2 ‐performance of the estimator must be degraded. An optimal estimator, in the sense of this game, minimizes the ratio between the resulting H 2 ‐performance degradation, and the performance degradation that would have been obtained if one had used the standard H ∞ ‐central filter. Both the continuous and the discrete‐time cases are treated.