Design of minimax linear filters based on local and integral criteria (Q1115401)

The paper deals with a continuous-time linear filtering problem relative to a model for which only upper bounds of the variances of the disturbances are provided. The problem is formulated as a minimax linear filtering problem using both local and integral performance criteria. The solution to the local problem is obtained in the form of a Cauchy problem. Comparisons are made with the solution to the problem based on the integral criterion.