Silverman algorithm and the structure of discrete-time stochastic systems

DOI10.1016/S0024-3795(01)00613-9zbMath0997.93018MaRDI QIDQ1611904

Giorgio Picci, Stefano Pinzoni, Augusto Ferrante

Publication date: 28 August 2002

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

zbMATH Keywords

Riccati equationminimal realizationsstochastic realizationreduced-order algorithmdiscrete-time processessingular filteringSilverman structure algorithminvariant directions

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55) Minimal systems representations (93B20) Stochastic systems in control theory (general) (93E03)

Related Items

A superposition principle for the Kalman filter

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The prediction theory of multivariate stochastic processes. I. The regularity condition. - II. The linear predictor
• Minimal realization and dynamic properties of optimal smoothers
• A Normal form for a Matrix under the Unitary Congruence Group
• A geometric approach to the singular filtering problem
• Realization Theory for Multivariate Stationary Gaussian Processes
• On the Stochastic Realization Problem
• Stochastic Realization and Invariant Directions of the Matrix Riccati Equation
• On infinite zeros
• Structure at inifinity of linear multivariable systems: A geometric approach
• Markovian Representation of Stochastic Processes by Canonical Variables
• Output-Induced Subspaces, Invariant Directions, and Interpolation in Linear Discrete-Time Stochastic Systems
• Zeros of Spectral Factors, the Geometry of Splitting Subspaces, and the Algebraic Riccati Inequality
• A System Theory Criterion for Positive Real Matrices