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Duality of linear estimation and control

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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.

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References

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Authors and Affiliations

  1. TRW Systems Group, Redondo Beach, California

    K. W. Simon (Member, Technical Staff)

  2. School of Engineering, University of California at Irvine, Irvine, California

    A. R. Stubberud (Associate Professor)

Authors
  1. K. W. Simon
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  2. A. R. Stubberud
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Additional information

Communicated by C. T. Leondes

This research was supported by the Air Force Office of Scientific Research, Grant No. AF-AFOSR-699-67.

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Simon, K.W., Stubberud, A.R. Duality of linear estimation and control. J Optim Theory Appl 6, 55–67 (1970). https://doi.org/10.1007/BF00927041

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  • DOI: https://doi.org/10.1007/BF00927041

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