A unified solution to the singular and nonsingular linear minimum-variance estimation problem

DOI10.1109/9.1260MaRDI QIDQ3786376zbMATH OpenOpenAlexFDO

Authors Esmat Bekir

Publication date 1988

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/9.1260

zbMATH Keywords

Kalman-Bucy filterspectral factorizationtime-invariantcontinuous-timeminimum-variance estimatortransfer function matrixlinear continuous- time system

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Factorization of matrices (15A23) Linear systems in control theory (93C05) Estimation and detection in stochastic control theory (93E10) Matrix equations and identities (15A24)

Recommendations

• A simple solution to the singular linear minimum-variance estimation problem
• Explicit solution to the singular discrete-time stationary linear filtering problem
• Filter problems of linear singular systems
• Singular filtering problems
• Extended limiting forms of optimum observers and LQG regulators

Cited in

(5)

• Modified stochastic Luenberger observers
• A simple solution to the singular linear minimum-variance estimation problem
• scientific article; zbMATH DE number 4215808 (Why is no real title available?)
• Design of reduced-order optimal estimators directly in the frequency domain
• State estimation for linear systems with observations partially corrupted by noise

This page was built for publication: A unified solution to the singular and nonsingular linear minimum-variance estimation problem

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3786376)