A Kalman filter as a minimax estimator

DOI10.1007/BF00932347zbMath0215.54804MaRDI QIDQ2545837

Max Mintz

Publication date: 1972

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Mathematics Subject Classification ID

Survival analysis and censored data (62N99)

Related Items (5)

The conditionally minimax nonlinear filtering method and modern approaches to state estimation in nonlinear stochastic systems ⋮ Minimax terminal state estimation for linear plants with unknown forcing functions† ⋮ Optimal estimator design for LTI systems with bounded noises, disturbances, and nonlinearities ⋮ A minimax property of the Kalman filter ⋮ On the solution of a minimax terminal state estimation problem A Hilbert space approach

Cites Work

• Optimal adaptive control systems
• Existence of optimal open-loop strategies for a class of differential games
• On a minimax estimate for the mean of a normal random vector under a generalized quadratic loss function
• Optimal Terminal Maneuver and Evasion Strategy
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