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

DOI10.1007/BFB0120968zbMATH Open0484.49011OpenAlexW177201521MaRDI QIDQ3943531FDOQ3943531

Authors: Michele Pavon, Roger J.-B. Wets 

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

linear predictiondualitylinear quadratic controloptimal estimatevariational problems of the Bolza type

Mathematics Subject Classification ID

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

Cited In (1)

• Minimum variance constrained estimator

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