Some new non-Riccati algorithms for continuous-time Kalman-Bucy filtering

DOI10.1007/BF02106187zbMath0347.93043MaRDI QIDQ1234270

Anders Lindquist

Publication date: 1976

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

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cites Work

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• A new equation for the linear regulator problem
• On Fredholm integral equations, Toeplitz equations and Kalman-Bucy filtering
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• Optimal Filtering of Continuous-Time Stationary Processes by Means of the Backward Innovation Process
• Optimal control of linear multivariable systems with quadratic performance index, and the inverse optimal control problem
• Some new algorithms for recursive estimation in constant linear systems
• Some reduced-order non-Riccati equations for linear least-squares estimation : the stationary, single-output case†
• Some new algorithms for recursive estimation in constant, linear, discrete-time systems
• On a Matrix Riccati Equation of Stochastic Control
• A new initial-value method for on-line filtering and estimation (Corresp.)

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