On Fredholm integral equations, Toeplitz equations and Kalman-Bucy filtering

DOI10.1007/BF01447958zbMath0301.93065MaRDI QIDQ1215485

Anders Lindquist

Publication date: 1975

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Model systems in control theory (93C99)

Related Items (8)

On approximate recursive prediction of stationary stochastic processes ⋮ Fast numerical solution of Fredholm integral equations with stationary kernels ⋮ On an extension problem, generalized Fourier analysis, and an entropy formula ⋮ The inverse problem for orthogonal Krein matrix functions ⋮ On a Schur-algorithm based approach to spectral factorization: Connection with the Riccati equation ⋮ Some new non-Riccati algorithms for continuous-time Kalman-Bucy filtering ⋮ An invariance principle for a finite dimensional stochastic approximation method in a Hilbert space ⋮ A group-theoretical approach to optimal estimation and control

Cites Work

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• Optimal linear filtering theory and radiative transfer: Comparisons and interconnections
• Optimal control of linear stochastic systems with applications to time lag systems
• Functional Equations in the Theory of Dynamic Programming--VII. A Partial Differential Equation for the Fredholm Resolvent
• A New Algorithm for Optimal Filtering of Discrete-Time Stationary Processes
• Optimal Filtering of Continuous-Time Stationary Processes by Means of the Backward Innovation Process
• Some new algorithms for recursive estimation in constant linear systems
• Some new algorithms for recursive estimation in constant, linear, discrete-time systems
• On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
• Application of a Resolvent Identity to a Linear Smoothing Problem
• A new initial-value method for on-line filtering and estimation (Corresp.)
• Algorithms for Triangular Decomposition of Block Hankel and Toeplitz Matrices with Application to Factoring Positive Matrix Polynomials

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