Square-root algorithms for the continuous-time linear least-square estimation problem

DOI10.1109/TAC.1978.1101862MaRDI QIDQ4181729zbMATH OpenOpenAlexFDO

Authors Bernard C. Levy, Martin Morf, T. Kailath

Publication date 1978

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tac.1978.1101862

zbMATH Keywords

Optimal Linear Least-Square EstimatorRiccati Equation

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Filtering in stochastic control theory (93E11)

Cited in

(4)

• Trends in identification
• Supplement to 'A survey of data smoothing'
• Square-root algorithms for parallel processing in optimal estimation
• Square-root algorithms of RLS Wiener filter and fixed-point smoother in linear discrete stochastic systems

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