Optimal model matching problem for stochastic signals with an unknown fast decreasing spectral density

DOI10.1134/S1064562411010042zbMATH Open1261.93089MaRDI QIDQ656263FDOQ656263

A. V. Proskurnikov, V. A. Yakubovich

Publication date: 17 January 2012

Published in: Doklady Mathematics (Search for Journal in Brave)

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zbMATH Keywords

spectral densitycontrol theorystationary processlinear stochastic differential equationbenchmark trackingdesign of optimal controlsexternal signalslinear-quadratic functionaloptimal model matchingproblem for stochastic signalssources of noise

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear-quadratic optimal control problems (49N10) Problems with incomplete information (optimization) (49N30) Optimal stochastic control (93E20)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• A frequency theorem in control theory

Cited In (2)

• Optimal tracking of stochastic signals with unknown spectral density in discrete-time control systems
• Suboptimal solutions to the time-varying model matching problem

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