Scattering theory and linear least squares estimation. II: Discrete-time problems

DOI10.1016/0016-0032(76)90133-2MaRDI QIDQ1227692zbMATH OpenOpenAlexFDO

Authors T. Kailath, Lennart Ljung, Benjamin Friedlander

Publication date 1976

Published in Journal of the Franklin Institute (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0016-0032(76)90133-2

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10)

Cites work

• A unified approach to smoothing formulas
• Backwards Markovian models for second-order stochastic processes (Corresp.)
• Canonical matrix fraction and state-space descriptions for deterministic and stochastic linear systems
• scientific article; zbMATH DE number 4167370 (Why is no real title available?)
• Introduction to stochastic control theory
• On the Relation of Transmission-Line Theory to Scattering and Transfer
• Partitioned estimation algorithms. II: Linear estimation
• Some new algorithms for recursive estimation in constant linear systems
• Some new algorithms for recursive estimation in constant, linear, discrete-time systems
• System concepts in Kron's polyhedron model and the scattering problem

Cited in

(21)

• A scattering framework for decentralized estimation problems
• Discrete Riccati-equation solutions: generalized partitioned algorithms
• Remarks on the origin of the displacement-rank concept
• A unified approach to smoothing formulas
• A unifying framework for linear estimation: Generalized partitioned algorithms
• A method of orthogonal directions. III: Estimation algorithms of Chandrasekhar and Cholesky types for discrete-time, nonconstant models
• Square-root algorithms for parallel processing in optimal estimation
• Inner-outer factorization and the inversion of locally finite systems of equations
• Chandrasekhar-type recursive Wiener estimation technique in linear discrete-time stochastic systems
• A doubling approach for determining the solution of Riccati-type equations utilizing matrix continued fractions
• Decentralized two-filter smoothing algorithms in discrete-time systems
• A hamiltonian formulation of risk-sensitive Linear/quadratic/gaussian control
• Periodic solutions of Riccati equations applied to multirate sampling
• Scattering theory and the discrete linear optimal control problem
• On the fixed-interval smoothing problem
• Second-order convergent algorithms for the steady-state Riccati equation†
• A unifying framework for discrete linear estimation Generalized partitioned algorithms
• A survey of recursive algorithms for the solution of the discrete time Riccati Equation
• Sparse grid approximation of the Riccati operator for closed loop parabolic control problems with Dirichlet boundary control
• New inversion formulas for matrices classified in terms of their distance from Toeplitz matrices
• A group-theoretical approach to optimal estimation and control

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