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Table 1 Duality between estimation and control

From: Survey of duality between linear quadratic regulation and linear estimation problems for discrete-time systems

LMMSE estimation LQR
x(k): state variable x(k): state variable
y(k): observed variable u(k): control signal
0: first observation N: last control action
\(K_{p}(k)\): in (2.4) K(k): in (2.10)
\(R_{\varepsilon (k)}\): in (2.5) \(R_{\mathbf{w}(k)}\): in (2.11)
P(k + 1): in (2.6) (k): in (2.12)