Optimal filter construction for a general quadratic cost functional

MaRDI QIDQ1373657zbMATH OpenFDO

Authors Michael Ruzhansky, Vladimir N. Fomin

Publication date 23 April 1998

Published in Vestnik St. Petersburg University. Mathematics (Search for Journal in Brave)

zbMATH Keywords

Bode-Shannon formulalinear optimal filterquadratic cost functional

Mathematics Subject Classification ID

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

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Cited in

(3)

• Optimal multilinear estimation of a random vector under constraints of causality and limited memory
• Comparative analysis of optimal filters of the second and third order for continuous-time systems
• Best approximation of the identity mapping: The case of variable finite memory

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