×

A dynamic game approach to mixed \(H_ \infty/ H_ 2\) estimation. (English) Zbl 0849.93062

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.

MSC:

93E11 Filtering in stochastic control theory
91A60 Probabilistic games; gambling
93B36 \(H^\infty\)-control
PDFBibTeX XMLCite
Full Text: DOI