Optimal filter construction for a general quadratic cost functional

zbMATH Open0887.60052MaRDI QIDQ1373657FDOQ1373657

Authors: Michael Ruzhansky, Vladimir N. Fomin 

Publication date: 23 April 1998

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

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zbMATH Keywords

quadratic cost functionallinear optimal filterBode-Shannon formula

Mathematics Subject Classification ID

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

Cited In (3)

• Best approximation of the identity mapping: The case of variable finite memory
• 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

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