Recursive Linear Estimation In Krein Spaces - Part II: Applications

Abstract

We show that several applications recently considered in the context of H^∞ -filtering and game theory, risk sensitive control and estimation, follow as special cases of the Krein space Kalman filter developed in the companion paper [1]. We show that these problems can be cast into the problem of calculating the stationary points of certain second order forms, and that by considering appropriate state space models and error Gramians, we can use the Krein space Kalman filter to recursively compute these stationary points and to study their properties.

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