Duality of Linear Estimation and Control,

Abstract

The concept of duality in mathematical programming is utilized to define a generalized duality principle between linear, minimum-variance estimation and fixed time linear quadratic regulator problems which provides a mathematical basis for the duality noted by Kalman as a special case. This generalized duality is then used with results in colored noise filtering to specify the solution to a class of singular regulator problems. (Author)

Document Details

Document Type
Technical Report
Publication Date
Dec 01, 1970
Accession Number
AD0717175

Entities

People

  • Allen R. Stubberud
  • Kurt W. Simon

Organizations

  • University of California, Los Angeles

Tags

DTIC Thesaurus Topics

  • Applied Mathematics
  • Computer Programming
  • Computing-Related Activities
  • Control Systems
  • Filtration
  • Interdisciplinary Science
  • Mathematical Programming
  • Mathematics
  • Regulators

Fields of Study

  • Mathematics

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.