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Game theory approach to state and input simultaneous estimation for discrete-time LTV systems

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  • Fu-qiang You
  • Fu-li Wang
  • Shou-ping Guan

Abstract

This article aims to provide a simple approach realising state observation and input estimation simultaneously for discrete-time LTV systems in H∞ setting. Through solving a two-player zero sum differential game, appealing results are obtained in two folds. First, necessary and sufficient solvability conditions for state and input simultaneous estimation problem are given in terms of solution to a set of difference Riccati recursion. Second, one estimator is presented with special innovation structure, where innovation information is used to update state observation tuned by gain matrix and to provide input estimation through a projector matrix, where gain matrix and projector matrix are constructed from solution to difference Riccati recursion. At last, simulation results are provided to justify proposed approach.

Suggested Citation

  • Fu-qiang You & Fu-li Wang & Shou-ping Guan, 2012. "Game theory approach to state and input simultaneous estimation for discrete-time LTV systems," International Journal of Systems Science, Taylor & Francis Journals, vol. 43(5), pages 854-860.
    • Handle: RePEc:taf:tsysxx:v:43:y:2012:i:5:p:854-860
    DOI: 10.1080/00207721.2010.536397
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