stimation in Krein Spaces- art 11: Applications

We show that several interesting problems in Rw - filtering, quadratic game theory, and risk sensitive control and estimation follow as special cases of the Krein-space linear esti- mation theory developed in (l). We show that a11 these problems can be cast into the problem of calculating the stationary point of certain second-order forms, and that by considering the ap- propriate state space models and error Gramians, we can use the ~re~n-spa~e estimation theory to calculate the stationary points and study their properties. The approach discussed here allows for interesting generalizations, such as finite memory adaptive filtering with varying sliding patterns.

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