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A trace minimization problem with applications in joint estimation and control under nonclassical information

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Abstract

Let Λ and Σ be positive-definite matrices of dimensionsn×n andm×n. Then, this paper considers the problem of minimizing Tr[Λ(I+C′C)−1] over allm×n real matrices and under the constraint Tr[ΣCC′]≥1. The solution is obtained rigorously and withouta priori employing the Lagrange multipliers technique. An application of this result to a decentralized team problem which involves joint estimation and control and with signaling strategies is also discussed.

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References

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Authors and Affiliations

  1. Applied Mathematics Division, Marmara Scientific and Industrial Research Institute, Gebze, Kocaeli, Turkey

    T. Başar (Senior Research Scientist)

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  1. T. Başar
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Communicated by Y. C. Ho

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Başar, T. A trace minimization problem with applications in joint estimation and control under nonclassical information. J Optim Theory Appl 31, 343–359 (1980). https://doi.org/10.1007/BF01262977

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  • DOI: https://doi.org/10.1007/BF01262977

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