Lagrangian duality between constrained estimation and control

Authors:
Graham C. Goodwin;José A. De Doná;MaríA M. Seron;Xiang W. Zhuo
Affiliations:
Centre for Complex Dynamic Systems and Control, School of Electrical Engineering and Computer Science, The University of Newcastle, Callaghan 2308 NSW, Australia;Centre for Complex Dynamic Systems and Control, School of Electrical Engineering and Computer Science, The University of Newcastle, Callaghan 2308 NSW, Australia;Centre for Complex Dynamic Systems and Control, School of Electrical Engineering and Computer Science, The University of Newcastle, Callaghan 2308 NSW, Australia;Centre for Complex Dynamic Systems and Control, School of Electrical Engineering and Computer Science, The University of Newcastle, Callaghan 2308 NSW, Australia
Venue:
Automatica (Journal of IFAC)
Year:
2005

Citing 2
Cited 2

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Moving-horizon state estimation for nonlinear discrete-time systems: New stability results and approximation schemes

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Brief paper: Symmetry between constrained reference tracking and constrained state estimation

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Abstract

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.