Minimization of a functional over the set of causal operators of causal Hilbert space

DOI10.1007/BF02364867MaRDI QIDQ1920685zbMATH OpenOpenAlexFDO

Authors Vladimir N. Fomin

Publication date 3 June 1997

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02364867

zbMATH Keywords

causal operatorsoptimal filtering theoryquadratic functionalspectral factorization

Mathematics Subject Classification ID

Operator-theoretic methods (93B28) Filtering in stochastic control theory (93E11)

Review text

The paper systematizes the mathematical foundations of abstract optimal filtering theory, the results being expressed in terms of the operators generated by the data of the filtering problem. Giving an example of a possible statement of the linear optimal filtering problem, a connection with the minimization problem for a quadratic functional is established. Also some properties of finite operators which permit to give an informative operator interpretation of the Wiener-Kolmogorov theory of the optimal filtering are considered. In the case of a discrete-time structure, every positive definite operator has a spectral factorization and the optimal filter can be described in terms of this factorizations.

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Cited in

(5)

• Necessary conditions for the optimality of discontinuous, linear, time-varying, filtering problems
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• scientific article; zbMATH DE number 1321107 (Why is no real title available?)
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• Abstract Optimal Linear Filtering

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