A Study of the Duality between Kalman Filters and LQR Problems

Authors

Dong-Hwan Lee, Donghwan LeeFollow
Jianghai Hu, Purdue UniversityFollow

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