Estimation problems in an input-and-output system

DOI10.1016/S0898-1221(00)00127-9MaRDI QIDQ1569968zbMATH OpenFDO

Authors N. Delaunay

Publication date 26 October 2000

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

Full work available at URL https://doi.org/10.1016/S0898-1221(00)00127-9

zbMATH Keywords

external statesHamiltonian systeminput-output systemsinternal statesscattering matrixsmooth and filtered estimationstar-product

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11) Data smoothing in stochastic control theory (93E14)

Review text

The purpose of the paper is to investigate smooth and filtered estimation problems for input-and-output systems. After an introduction on stochastic operators in Hilbert space, the estimation problems are stated in the framework of input-and-output systems. One introduces the internal and external states for input-and-output systems, and the decomposition of the Hamiltonian system into two states is shown to be mathematically necessary and sufficient. It turns out that the external state is the well-known Kalman filter. The \(2\times 2\) scattering matrix is extended to the \(3\times 3\) one, and one obtains some general new results together with some well-known ones.

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Cited in

(3)

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