Linear estimation in Krein spaces .1. Theory

被引：151

作者：

Hassibi, B ^{[1
]}

Sayed, AH ^{[1
]}

Kailath, T ^{[1
]}

机构：

[1] UNIV CALIF SANTA BARBARA, DEPT ELECT & COMP ENGN, SANTA BARBARA, CA 93106 USA

来源：

IEEE TRANSACTIONS ON AUTOMATIC CONTROL | 1996年 / 41卷 / 01期

基金：

美国国家科学基金会;

关键词：

D O I：

10.1109/9.481605

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

The authors develop a self-contained theory for linear estimation in Krein spaces, The derivation is based on simple concepts such as projections and matrix factorizations and leads to an interesting connection between Krein space projection and the recursive computation of the stationary points of certain second-order (or quadratic) forms, The authors use the innovations process to obtain a general recursive linear estimation algorithm, When specialized to a state-space structure, the algorithm yields a Krein space generalization of the celebrated Kalman filter with applications in several areas such as H-infinity-filtering and control, game problems, risk sensitive control, and adaptive filtering.

引用

页码：18 / 33

页数：16

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IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1996, 41 (01) :34-49

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