The duality between estimation and control from a variational viewpoint: The discrete time case
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Abstract
The duality between estimation and control is shown to follow from basic duality principles. To do so we formulate the estimation problem in terms of a variational problem and rely on the duality for the convex optimization problem to obtain the associated control problem. The properties of the solution of this problem are exploited to obtain the recursive relations that yield the optimal estimators of a dynamical system.
Key words
Estimation Filtering Duality Variational PrinciplePreview
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© The Mathematical Programming Society, Inc. 1982