Duality of linear estimation and control with constraints

  • V. Sankaran
  • M. D. Srinath
Contributed Papers


This paper considers the duality of linear estimation and control with constraints. Specifically, the dual of the optimal filter, where the mean-squared values of the optimal estimates are constrained, is shown to be an optimal control problem with constraints on the control, and the dual of the estimation of stochastic signals in the presence of multiplicative noise in addition to measurement noise is shown to be a control problem with constraints on the states, with the boundary conditions specified at opposite ends of the extremals in time. Algorithms are presented to establish the duality concept.


Boundary Condition Control Problem Optimal Control Problem Linear Estimation Measurement Noise 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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Additional Bibliography

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Copyright information

© Plenum Publishing Corporation 1972

Authors and Affiliations

  • V. Sankaran
    • 1
  • M. D. Srinath
    • 1
  1. 1.Information and Control Sciences Center, Institute of TechnologySouthern Methodist UniversityDallas

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