Estimability and regulability of linear systems

Abstract

A linear state-space system will be said to be estimable if in estimating its state from its output the posterior error covariance matrix is strictly smaller than the prior covariance matrix. It will be said to be regulable if the quadratic cost of state feedback control is strictly smaller than the cost when no feedback is used. These properties, which are shown to be dual, are different from the well known observability and controllability properties of linear systems. Necessary and sufficient conditions for estimability and regulability are derived for time variant and time invariant systems, in discrete and continuous time.