Robust filtering of process in the stationary difference stochastic system

Minimax estimation methods under ellipsoidal constraints

“…Thus, in order to find the minimax operator we need to find the maximal point for the dual functional J(·) on the set of matrices V. This functional is concave since it is a minimum of a family of linear forms, and in order to maximize it we can use the following modification of the conditional gradient method [29].…”