论文信息 - Lagrangian duality between constrained estimation and control

Lagrangian duality between constrained estimation and control

We show that the Lagrangian dual of a constrained linear estimation problem is a particular nonlinear optimal control problem. The result has an elegant symmetry, which is revealed when the constrained estimation problem is expressed as an equivalent nonlinear optimisation problem. The results extend and enhance known connections between the linear quadratic regulator and linear quadratic state estimation problems.

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