A procedure for constructing optimum functional filters for linear stationary stochastic systems

DOI10.3103/S0278641918040027zbMath1410.93122OpenAlexW2902381601MaRDI QIDQ1735207

M. A. Kamenshchikov, I. V. Kapalin

Publication date: 28 March 2019

Published in: Moscow University Computational Mathematics and Cybernetics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s0278641918040027

zbMATH Keywords

transfer functionreductionoptimization problemmean-square errorunbiased estimatefunctional observerfunctional filterbiased estimatelowered order

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Nonlinear programming (90C30) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05)

Related Items

Transfer functions of optimum filters of different dynamic orders for discrete systems, Comparative analysis of optimal filters of the second and third order for continuous-time systems

Cites Work

• Filtering theory. With applications to fault detection, isolation, and estimation.
• Asymptotic observers for \(n\)-dimensional bilinear systems
• On the optimal unbiased functional filtering
• Reduced-order estimation Part 1. Filtering
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