Electronic Resource
Springer
Journal of optimization theory and applications
6 (1970), S. 55-67
ISSN:
1573-2878
Source:
Springer Online Journal Archives 1860-2000
Topics:
Mathematics
Notes:
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.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF00927041
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