SIAM, PA, 1999
IndefiniteQuadratic Estimation and Control:
A Unified Approach to H2 and Hoo
Theories
Studies in Applied Mathematics 16
Hardcover 555pp, ISBN 0898714117
Authors: Babak Hassibi, Ali H. Sayed, Thomas Kailath
Published 1999
B. Hassibi, A. H. Sayed, and T. Kailath, Indefinite Quadratic Estimation and Control, SIAM, PA, 1999.
Description:
This monograph presents a unified mathematical framework for a wide range
of problems in estimation and control. The authors discuss the two most
commonly used methodologies: the stochastic H^{2} approach and
the deterministic (worstcase) H
approach. Despite the fundamental differences in the philosophies of these
two approaches, the authors have discovered that, if indefinite metric
spaces are considered, they can be treated in the same way and are essentially
the same. The benefits and consequences of this unification are pursued
in detail, with discussions of how to generalize wellknown results from
H^{2} theory to H
setting, as well as new results and insight, the development of new algorithms,
and applications to adaptive signal processing.
The authors deliberately have placed primary emphasis on estimation problems
which enable one to solve all the relevant control problems in detail.
They also deal mostly with discretetime systems, since these are the
ones most important in current applications.
Audience
Written for the secondyear graduate student in electrical, mechanical,
or aerospace engineering, the book requires a basic understanding of linear
algebra and linear systems theory. Researchers in systems and control,
signal processing, communications, and numerical algorithm development
will also find this book useful.
Contents
Preface; Chapter 1: Introduction and Motivation; Chapter 2: Linear Estimation
in Krein Spaces; Chapter 3: StateSpace Models in Krein Space; Chapter
4: FiniteHorizon HFiltering;
Chapter 5: Array Algorithms; Chapter 6: Several Related Problems; Chapter
7: H Optimality
of the LMS Algorithm; Chapter 8: Duality; Chapter 9: FiniteHorizon Control
Problems; Chapter 10: InputOutput Approach to H^{2} and H
Estimation; Chapter 11: InputOutput Approach to H^{2} and H
Control; Chapter 12: The DiscreteTime Algebraic Riccati Equation; Chapter
13: InfiniteHorizon Results for StateSpace Models; Chapter 14: Asymptotic
Behavior; Chapter 15: Optimal H
Solutions; Chapter 16: ContinuousTime Results and Final Remarks; Bibliography;
Index.
About the Authors
Babak Hassibi is a member of the technical staff at Bell Labs in Murray
Hill, New Jersey. Ali H. Sayed is an Associate Professor in the Department
of Electrical Engineering at the University of California, Los Angeles.
Thomas Kailath is Hitachi America Professor of Engineering at Stanford
University in California.
1999 / xvii + 555 pages / Hardcover / ISBN 0898714117
List Price $80.00 / SIAM Member Price $64.00 / Order Code AM16
