Optimal Interpolation for Linear Stochastic Systems

DOI10.1137/0322038zbMath0553.93060OpenAlexW2090440061MaRDI QIDQ3216539

Michele Pavon

Publication date: 1984

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0322038

zbMATH Keywords

interpolationnoisy observationGauss-Markov state process

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05) Signal detection and filtering (aspects of stochastic processes) (60G35) Data smoothing in stochastic control theory (93E14) Stochastic systems in control theory (general) (93E03) Interpolation in approximation theory (41A05) Realizations from input-output data (93B15)

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