A New Algorithm for Optimal Filtering of Discrete-Time Stationary Processes

DOI10.1137/0312057zbMATH Open0296.93037OpenAlexW2059761085MaRDI QIDQ4050465FDOQ4050465

Authors: Anders Lindquist 

Publication date: 1974

Published in: SIAM Journal on Control (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/e90fb84a4e3fa113f757025e50aeeaa7b6a31f72

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10)

Cited In (19)

• Matrix factorization and Chandrasekhar equations techniques in the design of linear quadratic optimal control systems
• Some reduced-order non-Riccati equations for linear least-squares estimation : the stationary, single-output case†
• Some alternatives in recursive estimation†
• Partitioning filters
• A new reduced-order adaptive filter for state estimation in high-dimensional systems
• Chandrasekhar algorithms for linear time varying distributed systems
• On the Phase Portrait of the Fast Filtering Algorithms
• Factorization methods for linear quadratic optimal control
• A group-theoretical approach to optimal estimation and control
• Stochastic realizations of a discrete-time non-stationary Process
• On a Schur-algorithm based approach to spectral factorization: Connection with the Riccati equation
• A POD projection method for large-scale algebraic Riccati equations
• Partitioned estimation algorithms. I: Nonlinear estimation
• A utilization of properties of the discrete-time Riccati equation in stochastic realization theory
• Title not available (Why is that?)
• On Fredholm integral equations, Toeplitz equations and Kalman-Bucy filtering
• Supplement to 'A survey of data smoothing'
• Some new non-Riccati algorithms for continuous-time Kalman-Bucy filtering
• Exact maximum likelihood estimation of structured or unit root multivariate time series models

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