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Mixed H^2/H^∞ Estimation: Preliminary Analytic Characterization And A Numerical Solution

Halder, B. and Hassibi, B. and Kailath, T. (1996) Mixed H^2/H^∞ Estimation: Preliminary Analytic Characterization And A Numerical Solution. In: Preprints of the 13th World Congress of the International Federation of Automatic Control : San Francisco, CA, USA, June 30-July 5, 1996. Vol.J. International Federation of Automatic Control , Hungary, pp. 37-41. https://resolver.caltech.edu/CaltechAUTHORS:20150218-075106274

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Abstract

We introduce and motivate the problem of mixed H^2/H∞ estimation by studying the stochastic and deterministic approaches of H^2 and H^∞ estimation. Mixed H^2/H^∞ estimators have the property that they have the best average performance over all estimators that achieve a certain worst-case performance bound. They thus allow a tradeoff between average and worst-case performances. In the finite horizon case, we obtain a numerical solution (based on convex optimization methods) for the optimal mixed H^2/H^∞ estimator. We also give some analytic characterizations, both on this optimal solution, and on the set of all estimators achieving a guaranteed worst-case bound. A numerical example is also provided.


Item Type:Book Section
Additional Information:© 1996 IFAC. This researchwas supportedby theAdvanced ResearchProjects Agency of the Department of Defense monitored by the Air Force Office of Scientific Research under Contract F49620-93-1-0085.
Funders:
Funding AgencyGrant Number
Air Force Office of Scientific Research (AFOSR)F49620-93-1-0085
Subject Keywords:Robust estimation, H^2/H^∞ theory, Convex optimization
Record Number:CaltechAUTHORS:20150218-075106274
Persistent URL:https://resolver.caltech.edu/CaltechAUTHORS:20150218-075106274
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:54920
Collection:CaltechAUTHORS
Deposited By: Shirley Slattery
Deposited On:04 Mar 2015 01:09
Last Modified:03 Oct 2019 08:01

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