A Kalman-tracking filter approach to nonlinear programming

DOI10.1016/0898-1221(90)90149-EMaRDI QIDQ750314zbMATH OpenFDO

Authors D. Kharzeev

Publication date 1990

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

zbMATH Keywords

stochastic noisetrackingapproximation errorstwo-level Kalman filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Nonlinear programming (90C30) Stochastic programming (90C15) Computational methods for problems pertaining to operations research and mathematical programming (90-08)

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Cites work

• scientific article; zbMATH DE number 4066707 (Why is no real title available?)
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• scientific article; zbMATH DE number 65796 (Why is no real title available?)
• scientific article; zbMATH DE number 3259563 (Why is no real title available?)
• A Stochastic Approximation Method
• Analysis of recursive stochastic algorithms
• Convergence Properties of Algorithms for Nonlinear Optimization
• Factorization methods for discrete sequential estimation
• Gradient-Type Algorithms for Partial Singular Value Decomposition
• Minimization of functions having Lipschitz continuous first partial derivatives
• Stochastic Estimation of the Maximum of a Regression Function
• Stochastic approximation method with gradient averaging for unconstrained problems
• Tracking and data association

Cited in

(1)

• Solving stochastic programming problems via Kalman filter and affine scaling

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