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Linear estimation in krein spaces - part i: theory (1996).
| Content Provider | CiteSeerX |
|---|---|
| Author | Hassibi, Babak Sayed, Ali H. Kailath, Thomas |
| Abstract | We 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. We 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 1 -filtering and control, game problems, risk sensitive control, and adaptive filtering. This research was supported by the Advanced Research Projects Agency of the Department of Defense monitored by the Air Force Office of Scientific Research under Contract F49620-93-1-0085. This manuscript is submitted for publication with the understanding that the US Government is authorized to reproduce and ... |
| File Format | |
| Publisher Date | 1996-01-01 |
| Access Restriction | Open |
| Subject Keyword | Linear Estimation Krein Space Part Self-contained Theory Simple Concept State Space Structure Game Problem Recursive Computation Risk Sensitive Control General Recursive Linear Estimation Algorithm Innovation Process Matrix Factorization Several Area Krein Space Projection Adaptive Filtering Interesting Connection Krein Space Generalization Krein Space Air Force Office Celebrated Kalman Filter Advanced Research Project Agency U Government Stationary Point Scientific Research Contract F49620-93-1-0085 Certain Second Order |
| Content Type | Text |
