A minimax property of the Kalman filter
- 1 September 1977
- journal article
- research article
- Published by Taylor & Francis in International Journal of Control
- Vol. 26 (3) , 369-377
- https://doi.org/10.1080/00207177708922316
Abstract
It is proved that both in the discrete-time and the continuous -time case the asymptotic form of the Kalman filter that is obtained by letting the variance matrix of the initial state go to infinity is minimax with respect to the initial state if the latter is regarded as an unknown, deterministic quantityKeywords
This publication has 2 references indexed in Scilit:
- Stochastic Differential Systems IPublished by Springer Nature ,1973
- A Kalman filter as a minimax estimatorJournal of Optimization Theory and Applications, 1972