A comparison of classical stochastic estimation and deterministic robust estimation

Krause J.M.; Khargonekar P.P.

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A comparison of classical stochastic estimation and deterministic robust estimation

机译：经典随机估计与确定性鲁棒估计的比较

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The formulation and solution of two linear parameter estimation problems are compared. The basic distinction in the problem formulation is the nature of the uncertainty. In one case, the uncertainty is generated by white Gaussian noise, and the solution is the Kalman filter. In the other case, the uncertainty is unmodeled dynamics in the unit ball in H/sup infinity / or its nonlinear cover, and the particular solution studied is a deterministic robust estimator. Certain parallels between classical stochastic estimation (Kalman filtering) and the deterministic robust estimation are examined. The similarities and differences are discussed in geometric terms, in philosophical terms, and in terms of the estimator's recursive implementation.

机译：比较了两个线性参数估计问题的表述和解决方案。问题表述的基本区别是不确定性的性质。在一种情况下，不确定性是由高斯白噪声产生的，解决方案是卡尔曼滤波器。在另一种情况下，不确定性是单位球在H / sup无限大或其非线性覆盖范围内的非建模动力学，所研究的特定解决方案是确定性的鲁棒估计。研究了经典随机估计（卡尔曼滤波）和确定性鲁棒估计之间的某些相似之处。相似性和差异是从几何角度，哲学角度以及估计器的递归实现方面进行讨论的。

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《IEEE Transactions on Automatic Control》 |1992年第7期|P.994-1000|共7页
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Krause J.M.; Khargonekar P.P.;
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A comparison of classical stochastic estimation and deterministic robust estimation

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