Minimax Adaptive Estimation for Finite Sets of Linear Systems

2021/03/03 by Kjellqvist, Olle, Rantzer, Anders · 2 citations
#FOS: Mathematics #Optimization and Control (math.OC)

paper · doi:10.48550/arxiv.2103.02479

Abstract

For linear time-invariant systems with uncertain parameters belonging to a finite set, we present a purely deterministic approach to multiple-model estimation and propose an algorithm based on the minimax criterion using constrained quadratic programming. The estimator tends to learn the dynamics of the system, and once the uncertain parameters have been sufficiently estimated, the estimator behaves like a standard Kalman filter.

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• Minimax Optimal Adaptive Control for Systems on Cones
• On Minimax Optimal Dual Control for Fully Actuated Systems

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