A Study of the Duality between Kalman Filters and LQR Problems
نویسندگان
چکیده
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.
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