State Estimation and Control of Conditionally Linear Systems

DOI10.1137/0324028MaRDI QIDQ3728784zbMATH OpenOpenAlexFDO

Authors Wojciech J. Kolodziej, Ronald R. Mohler

Publication date 1986

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0324028

zbMATH Keywords

separation principlelinear-quadratic controlconditional characteristic functionoptimal filterpartially observable stochastic systemnon-Gaussian initial distribution

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sufficient statistics and fields (62B05) Linear systems in control theory (93C05) Estimation and detection in stochastic control theory (93E10) Optimal stochastic control (93E20)

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