Abstract
The goal of this paper is to study a connection between the finite-horizon Kalman filtering and the LQR problems for discrete-time LTI systems. Motivated from the recent duality results on the LQR problem, a Lagrangian dual relation is used to prove that the Kalman filtering problem is a Lagrange dual problem of the LQR problem.
Keywords
LQR problem, Kalman filtering, optimization, optimal control, Duality
Date of this Version
11-3-2016
COinS