Indefinite-Quadratic Estimation and Control
Indefinite-Quadratic Estimation and Control
Ali H. Sayed
Thomas Kailath
£77.00
GBPThis monograph presents a unified mathematical framework for a wide range of problems in estimation and control. The authors discuss the two most commonly used methodologies: the stochastic H2 approach and the deterministic (worst-case) H8 approach. Despite the fundamental differences in the philosophies of these two approaches, the authors have discovered that, if indefinite metric spaces are considered, they can be treated in the same way and are essentially the same. The benefits and consequences of this unification are pursued in detail, with discussions of how to generalize well-known results from H$^2$ theory to H$^\infty$ setting, as well as new results and insight, the development of new algorithms, and applications to adaptive signal processing. The authors deliberately have placed primary emphasis on estimation problems which enable one to solve all the relevant control problems in detail.
Product details
November 1998Hardback
9780898714111
572 pages
260 × 185 × 35 mm
1.237kg
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Table of Contents
- Preface
- 1. Introduction and motivation
- 2. Linear estimation in Krein spaces
- 3. State-space models in Krein space
- 4. Finite-horizon H8 filtering
- 5. Array algorithms
- 6. Several related problems
- 7. H8 Optimality of the LMS algorithm
- 8. Duality
- 9. Finite-horizon control problems
- 10. Input-output approach to H2 and H8 estimation
- 11. Input-output approach to H2 and H8 control
- 12. The discrete-time algebraic Riccati equation
- 13. Infinite-Horizon results for state-space Models
- 14. Asymptotic behavior
- 15. Optimal H8 solutions
- 16. Continuous-time results and final remarks
- Bibliography
- Index.
