Deterministic least squares filtering.

DOI10.1016/S0304-4076(03)00146-5zbMath1033.62093OpenAlexW1992447120MaRDI QIDQ1421325

Jan C. Willems

Publication date: 26 January 2004

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(03)00146-5

zbMATH Keywords

Riccati equationKalman filteringLinear systemsFilteringLatencyLeast squares estimationLeast squares controlMisfit

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

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On the Lagrange duality of stochastic and deterministic minimax control and filtering problems ⋮ Improved GPS accuracy via dynamic filtering of relative distances in a swarm of nano-satellites ⋮ Extended fractional singular Kalman filter ⋮ On the strong observability in linear time-varying singular systems ⋮ Optimal recursive estimation for discrete-time descriptor systems ⋮ Neural network based nonlinear observers ⋮ Recursive linear estimation for general discrete-time descriptor systems ⋮ Discussion on: ``Why is resorting to fate wise? A critical look at randomized algorithms in systems and control ⋮ The deterministic interpretation of the Kalman filter ⋮ A semi-definite programming approach for robust tracking

Cites Work

• Robust/\(H_{\infty}\) filtering for nonlinear systems
• Lectures on linear least-squares estimation
• Maximum-likelihood recursive nonlinear filtering
• Dissipative dynamical systems. I: General theory
• State-space solutions to standard H/sub 2/ and H/sub infinity / control problems
• Recursive Filtering
• On Quadratic Differential Forms
• The Uncertain Reasoner's Companion
• On the Separation Theorem of Stochastic Control
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