Duality of linear estimation and control with constraints
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.
KeywordsBoundary Condition Control Problem Optimal Control Problem Linear Estimation Measurement Noise
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