Estimating the state of dynamic systems by applying the minimum principle to the generalized work functional (Q1903434)

This paper deals with the problem of estimating a controlled dynamical system from an observation process in an optimal control framework. Optimality means minimization of a generalized work functional. The authors use an approach based on separating the estimation and control problems. Using Kotel'nikov series, they obtain improved optimal control algorithms. Since the estimation is nothing but the conditional expectation, the algorithms and a nonlinear Kalman filter provide a procedure for solving the problem.