A Kalman-tracking filter approach to nonlinear programming

DOI10.1016/0898-1221(90)90149-EzbMath0713.90073MaRDI QIDQ750314

D. Kharzeev

Publication date: 1990

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

zbMATH Keywords

tracking; approximation errors; stochastic noise; two-level Kalman filter

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

90C30: Nonlinear programming

90C15: Stochastic programming

90-08: Computational methods for problems pertaining to operations research and mathematical programming