On minimax identification: method of dual optimization

descriptionPublicationkeyboard_double_arrow_right Article , Conference object 13 Nov 2002Publisher:IEEEJournal:Proceedings of the 39th IEEE Conference on Decision and Control (Cat. No.00CH37187), volume 5, pages 4,759-4,764

Authors: Alexei R. Pankov; Evgeni N. Platonov; Konstantin V. Siemenikhin;

doi: 10.1109/cdc.2001.914680

On minimax identification: method of dual optimization

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Abstract

The problem of minimax affine identification of a linear uncertain stochastic multivariate model is considered. The minimax optimization problem together with the corresponding dual one are stated and examined. The necessary and sufficient conditions for the minimax affine estimate to exist and to be determined analytically via the dual problem solution are given. The algorithm of minimax stochastic estimation for the infinite-dimensional model given a finite number of observations is also considered. The numerical method for minimax estimation is described, and the results of computer modeling are presented.

Related Organizations

Institute for Information Transmission Problems
Russian Federation
Russian Academy of Sciences
Russian Federation

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