Minimax linear filtering of dynamic discrete-time processes (Q800281)
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scientific article; zbMATH DE number 3877043
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Minimax linear filtering of dynamic discrete-time processes |
scientific article; zbMATH DE number 3877043 |
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Minimax linear filtering of dynamic discrete-time processes (English)
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1984
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The author considers the problem of linear filtering for discrete-time processes under conditions of incomplete information about the disturbances with specified constraints on the variances of the processes and unspecified correlation functions. A game formulation of the problem is presented and the linear filter that constitutes a saddle point is obtained.
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minimax linear filtering
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incomplete information
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saddle point
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