Silverman algorithm and the structure of discrete-time stochastic systems
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Publication:1611904
DOI10.1016/S0024-3795(01)00613-9zbMath0997.93018MaRDI QIDQ1611904
Giorgio Picci, Stefano Pinzoni, Augusto Ferrante
Publication date: 28 August 2002
Published in: Linear Algebra and its Applications (Search for Journal in Brave)
Riccati equationminimal realizationsstochastic realizationreduced-order algorithmdiscrete-time processessingular filteringSilverman structure algorithminvariant directions
Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55) Minimal systems representations (93B20) Stochastic systems in control theory (general) (93E03)
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