Minimax identification of linear systems by probability criterion

被引：0
作者：
Pankov, A. R. [1 ]
Popov, A. S. [1 ]
Platonov, E. P. [1 ]
Siemenikhin, K. V. [1 ]
机构：
[1] Moscow Inst Aviat Technol, Appl Math & Phys Fac, Probabil Theory Dept, Moscow 125993 A80, Russia
来源：
2005 44TH IEEE CONFERENCE ON DECISION AND CONTROL & EUROPEAN CONTROL CONFERENCE, VOLS 1-8 | 2005年
关键词：
D O I：
暂无
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
The problem of linear estimation of states and parameters of the multidimensional statistically indeterminate system by minimax probability criterion is considered. A Priori information about the distribution law of the model random parameters and disturbances is defined by certain constraints on the first- and second-order moments. The explicit form of the minimax probability estimator and the sharp guaranteed bound for the probability functional are provided. The analytic expression of the "worst-case" distribution of the random model parameters is presented.
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页码：8054 / 8057
页数：4
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