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