The duality between estimation and control from a variational viewpoint: The discrete time case

DOI10.1007/BFb0120968zbMath0484.49011OpenAlexW177201521MaRDI QIDQ3943531

Roger J.-B. Wets, Michele Pavon

Publication date: 1982

Published in: Algorithms and Theory in Filtering and Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bfb0120968

zbMATH Keywords

dualitylinear predictionlinear quadratic controloptimal estimatevariational problems of the Bolza type

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Numerical optimization and variational techniques (65K10) Estimation and detection in stochastic control theory (93E10) Optimal stochastic control (93E20) Existence of optimal solutions to problems involving randomness (49J55)

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