On the solution of a minimax terminal state estimation problem A Hilbert space approach
- 1 June 1978
- journal article
- research article
- Published by Taylor & Francis in International Journal of Control
- Vol. 27 (6) , 821-830
- https://doi.org/10.1080/00207177808922414
Abstract
The solution to a continuous-time LQG minimax terminal state estimation problem is obtained using a Hilbert space approach. The minimax decision rule is determined via the method of least favourable prior distributions. The minimax estimator is shown to be a linear functional of the observed data, and the least favourable prior distribution is shown to be a degenerate Gaussian stochastic process.Keywords
This publication has 6 references indexed in Scilit:
- Minimax terminal state estimation for linear plants with unknown forcing functions†International Journal of Control, 1972
- A Kalman filter as a minimax estimatorJournal of Optimization Theory and Applications, 1972
- Formal solutions for a class of stochastic pursuit-evasion gamesIEEE Transactions on Automatic Control, 1969
- Differential games with imperfect state informationIEEE Transactions on Automatic Control, 1969
- On a class of linear stochastic differential gamesIEEE Transactions on Automatic Control, 1968
- Optimal Terminal Maneuver and Evasion StrategySIAM Journal on Control, 1966