Some remarks on linear filtering theory for infinite dimensional systems (Q4451691)
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scientific article; zbMATH DE number 2048368
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| English | Some remarks on linear filtering theory for infinite dimensional systems |
scientific article; zbMATH DE number 2048368 |
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1 March 2004
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linear filtering theory
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infinite dimensional systems
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linear random functionals
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Kalman filter
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0.8997852
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0.8937352
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0.8934721
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0.88941187
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0.8875918
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0.8864111
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Some remarks on linear filtering theory for infinite dimensional systems (English)
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The purpose of the paper is to show that the special Kalman filter for a linear infinite-dimensional system has even more natural optimality properties than expected, in particular, nothing is lost with respect to the situation of finite-dimensional linear systems. The filter is constructed with the help of the concept of linear random functional. The author gives the best linear filter as the solution of the filtering problem in the Hilbert space. For the entire collection see [Zbl 1005.00024].
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