Theodor, Y.; Shaked, U. A dynamic game approach to mixed \(H_ \infty/ H_ 2\) estimation. (English) Zbl 0849.93062 Int. J. Robust Nonlinear Control 6, No. 4, 331-345 (1996). In the presence of two sets of exogenous signals a dynamic game approach to mixed \(H_\infty/H_2\) estimation is proposed. This paper is limited to finite-time filtering problems but the authors suggest that under appropriate detectability and stabilizability assumptions an infinite time-invariant result can be obtained. Both the continuous and the discrete-times cases are treated. The computations are given explicitly and a numerical example is included. Reviewer: C.Vârsan (Bucureşti) Cited in 6 Documents MSC: 93E11 Filtering in stochastic control theory 91A60 Probabilistic games; gambling 93B36 \(H^\infty\)-control Keywords:dynamic game; mixed \(H_ \infty/H_ 2\) estimation; filtering PDFBibTeX XMLCite \textit{Y. Theodor} and \textit{U. Shaked}, Int. J. Robust Nonlinear Control 6, No. 4, 331--345 (1996; Zbl 0849.93062) Full Text: DOI