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

DOI10.1134/S1064562411010042MaRDI QIDQ656263zbMATH OpenFDO

Authors V. A. Yakubovich, A. V. Proskurnikov

Publication date 17 January 2012

Published in Doklady Mathematics (Search for Journal in Brave)

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)

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Cites work

• scientific article; zbMATH DE number 3886816 (Why is no real title available?)
• scientific article; zbMATH DE number 3215022 (Why is no real title available?)
• 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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