Optimality for the linear quadratic non-Gaussian problem via the asymmetric Kalman filter

DOI10.1002/ACS.779MaRDI QIDQ4458675zbMATH OpenOpenAlexFDO

Authors Rosario Romera

Publication date 15 March 2004

Published in International Journal of Adaptive Control and Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/acs.779

zbMATH Keywords

discrete-time systemsstochastic controlasymmetric Kalman filterasymmetric least-squareslinear quadratic non-Gaussian optimal control

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20)

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