Optimal linear filtering in systems with noise in observations dependent on signal and estimate

zbMATH Open1062.93040MaRDI QIDQ1882171

Yanyan Li

Publication date: 19 October 2004

Published in: Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

stochastic optimal controlRiccati equationZakai equationoptimal linear filteringpartially observable systemKalman estimatestate dependent observation noise

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Optimal stochastic control (93E20)

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