A stochastic realization approach to the smoothing problem

DOI10.1109/TAC.1979.1102174zbMath0426.93056MaRDI QIDQ3863812

Anders Lindquist, Michele Pavon, F. A. Badawi

Publication date: 1979

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

zbMATH Keywords

smoothingKalman-Bucy filterstochastic realization theory

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Data smoothing in stochastic control theory (93E14) Realizations from input-output data (93B15)

Related Items (15)

Suboptimal Markovian smoothing estimates based on continuous curves of solutions of the algebraic Riccati inequality ⋮ On stochastic realization theory ⋮ Backward representation for nonstationary Markov processes with finite state space ⋮ On the relationship between the Lagrange multiplier method and the two-filter smoother ⋮ Generalized Kalman smoothing: modeling and algorithms ⋮ \( \mathcal{L}_1\)-optimal filtering of Markov jump processes. III: Identification of system parameters ⋮ Reverse-time diffusion equation models ⋮ Stochastic realizations of a discrete-time non-stationary Process ⋮ Direct approach to two-filter smoothing formulas† ⋮ Canonical correlations of past inputs and future outputs for linear stochastic systems ⋮ On the fixed-interval smoothing problem ⋮ Markovianity of a subset of components of a Markov process ⋮ Two filter smoothing formulae by diagonalization of the Hamiltonian equations† ⋮ A realization approach to stochastic model reduction ⋮ Explicit strict sense state-space realizations of non-stationary processes†

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