Calculation of coefficients of equations of conditionally optimal filters (Q1061685)

The calculation is discussed of the coefficients of conditionally optimal filters of continuous stochastic processes. An example is presented that illustrates the errors that can occur by calculating the coefficients on the basis of minimization of the error variance derivative if an exact solution of the conditionally optimal estimation problem does not exist. It is shown that in such a case it is possible to find an adequate suboptimal solution.