Return-difference matrix properties of optimal linear stationary estimation and control in singular case
- 1 February 1982
- journal article
- research article
- Published by Taylor & Francis in International Journal of Control
- Vol. 35 (2) , 367-382
- https://doi.org/10.1080/00207178208922625
Abstract
A characterization of the return-difference matrix properties of optimal linear stationary estimation in singular mode is presented in which the non-singular Kalman problem and the coloured measurement noise problem occur as special cases. Linear least-squares estimators of minimal order are treated for both known state-space models and known separable output covariance models. Return-difference properties of the optimal linear regulator, where the control weighting matrix is singular, are also shown to be the dual of those of the singular estimation solutions.Keywords
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