Linear estimation of boundary value stochastic processes--Part II: 1-D smoothing problems

DOI10.1109/TAC.1984.1103668MaRDI QIDQ3713966zbMATH OpenOpenAlexFDO

Authors Milton B. Adams, Alan S. Willsky, Bernard C. Levy

Publication date 1984

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

Full work available at URL https://doi.org/10.1109/tac.1984.1103668

zbMATH Keywords

1-D noncausal processescomplementary modelsdifferential realizationHamiltonian diagonalizationnumerically stable two-filter formoptimal smoothersmoothing error

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Model systems in control theory (93C99) Estimation and detection in stochastic control theory (93E10) Data smoothing in stochastic control theory (93E14)

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• Smoothing error dynamics and their use in the solution of smoothing and mapping problems
• Recursive linear smoothing for dissipative hyperbolic systems
• Smoothing and likelihood ratio for Gaussian boundary value processes
• Weak approximations. A Malliavin calculus approach
• Trajectory Planning for Systems with a Multiplicative Stochastic Uncertainty
• Least Squares Smoothing of Nonlinear Systems
• Reachability, observability, and minimality for shift-invariant two-point boundary-value descriptor systems
• Parallel smoothing
• Boundary value processes: Estimation and identification

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