Silverman algorithm and the structure of discrete-time stochastic systems

DOI10.1016/S0024-3795(01)00613-9zbMath0997.93018MaRDI QIDQ1611904

Giorgio Picci, Stefano Pinzoni, Augusto Ferrante

Publication date: 28 August 2002

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

zbMATH Keywords

Riccati equationminimal realizationsstochastic realizationreduced-order algorithmdiscrete-time processessingular filteringSilverman structure algorithminvariant directions

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55) Minimal systems representations (93B20) Stochastic systems in control theory (general) (93E03)

Related Items (1)

A superposition principle for the Kalman filter

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