Principle of guaranteed result in a problem of stationary linear smoothing with uncertainty of spectral densities

MaRDI QIDQ1075989zbMATH OpenFDO

Authors Yu. B. Korobochkin

Publication date 1985

Published in Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

linear smoothingoptimal frequency characteristics

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Linear systems in control theory (93C05) Filtering in stochastic control theory (93E11) Data smoothing in stochastic control theory (93E14)

Review text

The linear smoothing problem is addressed for the special case where some additively noise corrupted signal is observed and the only knowledge we have is some constraints on the moments. It is shown that optimal frequency characteristics for the required filter can be obtained by converting this problem into a mathematical programming problem.

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