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Lagrangian duality between constrained estimation and control

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journal contribution
posted on 2025-05-11, 22:49 authored by Graham GoodwinGraham Goodwin, Jose A. De Dona, Maria SeronMaria Seron, Xiang W. Zhuo
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.

History

Journal title

Automatica

Volume

41

Issue

6

Pagination

935-944

Publisher

Elsevier

Language

  • en, English

College/Research Centre

Faculty of Engineering and Built Environment

School

School of Electrical Engineering and Computer Science

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