Minimization of a functional over the set of causal operators of causal Hilbert space (Q1920685): Difference between revisions

The paper systematizes the mathematical foundations of abstract optimal filtering theory, the results being expressed in terms of the operators generated by the data of the filtering problem. Giving an example of a possible statement of the linear optimal filtering problem, a connection with the minimization problem for a quadratic functional is established. Also some properties of finite operators which permit to give an informative operator interpretation of the Wiener-Kolmogorov theory of the optimal filtering are considered. In the case of a discrete-time structure, every positive definite operator has a spectral factorization and the optimal filter can be described in terms of this factorizations.