Optimizing estimation of a statistically undefined system

DOI10.1134/S0005117918010022zbMath1391.93203OpenAlexW2791159378MaRDI QIDQ1641942

B. I. Anan'ev

Publication date: 20 June 2018

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

Full work available at URL: https://doi.org/10.1134/s0005117918010022

zbMATH Keywords

differential gameRiccati equationGaussian perturbationsundefined covariances

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05)

Cites Work

• Approximation schemes for viscosity solutions of Hamilton-Jacobi equations
• Optimality of linear algorithms in ``worst correlation problem
• Numerical approximations of generalized solutions of the Hamilton-Jacobi equations
• Minimax identification of a generalized uncertain-stochastic linear model
• The parametric identification methods for many-dimensional linear models in the presence of a priori uncertainty
• On procedures for constructing solutions in differential games on a finite interval of time
• Controlled Markov processes and viscosity solutions
• The Kalman filter: A robust estimator for some classes of linear quadratic problems
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