Explicit solutions to the linear optimal estimation problem of continuous time-invariant linear processes

DOI10.1080/00207178308932978MaRDI QIDQ4744160zbMATH OpenOpenAlexFDO

Authors U. Shaked

Publication date 1983

Published in International Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207178308932978

zbMATH Keywords

Kalman gainlinear optimal estimation problemminimum-error covariance matrixoptimal filter

Mathematics Subject Classification ID

Transformations (93B17) Linear systems in control theory (93C05) Model systems in control theory (93C99) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11) Data smoothing in stochastic control theory (93E14)

Cites work

• A general transfer function approach to linear stationary filtering and steady-state optimal control problems
• Criterion for the convergence of the solution of the Riccati differential equation
• Generalized quadratic weights for asymptotic regulator properties
• scientific article; zbMATH DE number 3435336 (Why is no real title available?)
• scientific article; zbMATH DE number 3358330 (Why is no real title available?)
• Quadratic weights for asymptotic regulator properties
• The asymptotic behavior of constant-coefficient Riccati differential equations

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