On the Stochastic Realization Problem

DOI10.1137/0317028MaRDI QIDQ3865222zbMATH OpenOpenAlexFDO

Authors Anders Lindquist, Giorgio Picci

Publication date 1979

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/b3934f91f19c8fcf161b2f5b0c63a96c3fb9f32d

zbMATH Keywords

stationary incrementsKalman-Bucy filtersforward and backward stochastic realizationsinternal and external stochastic realizations

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cited in

(30)

• On a connection between spectral factorization and geometric control theory
• Robust control of a distillation column
• Minimal symmetric factorizations of symmetric real and complex rational matrix functions
• On minimal splitting subspaces and markovian representations
• Minimal representations of continuous-time processes having spectral density with zeros in the extended imaginary axis
• Silverman algorithm and the structure of discrete-time stochastic systems
• Forward and backward semimartingale models for gaussian processes with stationary increments
• Two filter smoothing formulae by diagonalization of the Hamiltonian equations†
• Parametrization of all minimal square spectral factors
• Critical Ornstein-Uhlenbeck processes
• On the geometry of the set of solutions of a discrete-time quadratic matrix inequality†
• Stochastic control and nonequilibrium thermodynamical systems
• Markovian extensions of a stochastic process
• Direct approach to two-filter smoothing formulas†
• Backward representation of Markov jump processes and related problems. I. Optimal linear estimation
• Port properties of nonlinear reciprocal networks
• Acausal models and balanced realizations of stationary processes
• Stochastic realization of a Gaussian stochastic control system
• Smoothing algorithms for nonlinear finite-dimensional systems
• Passivity-preserving model reduction by analytic interpolation
• Forward and backward Markovian state space models of second order process
• Non-linear minimal square spectral factorization
• A realization approach to stochastic model reduction
• A utilization of properties of the discrete-time Riccati equation in stochastic realization theory
• On the fixed-interval smoothing problem
• scientific article; zbMATH DE number 3688432 (Why is no real title available?)
• Reverse time diffusions
• Reverse-time diffusion equation models
• Reduced-complexity LQR design using canonical correlation analysis
• Identification of rank one rational spectral densities from noisy observations: a stochastic realization approach

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