Risk-sensitive filtering, prediction and smoothing for discrete-time singular systems
From MaRDI portal
Publication:1858371
DOI10.1016/S0005-1098(02)00168-1zbMath1009.93076MaRDI QIDQ1858371
Yeng Chai Soh, Xie, Lihua, Huan-Shui Zhang
Publication date: 13 February 2003
Published in: Automatica (Search for Journal in Brave)
minimax optimizationindefinite quadratic formdiscrete-time singular systemsARMA innovation modelrisk-sensitive estimation
Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55) Data smoothing in stochastic control theory (93E14)
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