Suboptimal Markovian smoothing estimates based on continuous curves of solutions of the algebraic Riccati inequality

DOI10.1016/S0005-1098(02)00019-5zbMath1004.93045MaRDI QIDQ1614333

Harald K. Wimmer, Michele Pavon

Publication date: 5 September 2002

Published in: Automatica (Search for Journal in Brave)

zbMATH Keywords

algebraic Riccati inequalityMarkovian smooth estimates

Mathematics Subject Classification ID

Data smoothing in stochastic control theory (93E14)

Related Items (1)

Families of solutions of algebraic Riccati equations

Uses Software

• Algorithm 432

Cites Work

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• The solution set of the algebraic Riccati equation and the algebraic Riccati inequality
• Stability of neutral invariant subspaces in indefinite inner products and stable symmetric factorizations
• Monotonicity of maximal solutions of algebraic Riccati equations
• The algebraic Riccati inequality: parametrization of solutions, tightest local frames and generalized feedback matrices
• Analytic operator functions with compact spectrum. II. Spectral pairs and factorization
• A solution of the smoothing problem for linear dynamic systems
• Minimal realization and dynamic properties of optimal smoothers
• Realization Theory for Multivariate Stationary Gaussian Processes
• A Hessenberg-Schur method for the problem AX + XB= C
• A stochastic realization approach to the smoothing problem
• Lipschitz continuity of oblique projections
• Algorithm 432 [C2: Solution of the matrix equation AX + XB = C [F4]]

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