State Estimation and Control of Conditionally Linear Systems

DOI10.1137/0324028zbMath0596.93060OpenAlexW2076158645MaRDI QIDQ3728784

Ronald R. Mohler, Wojciech J. Kolodziej

Publication date: 1986

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

Full work available at URL: https://doi.org/10.1137/0324028

zbMATH Keywords

separation principleconditional characteristic functionlinear-quadratic controloptimal filterpartially observable stochastic systemnon-Gaussian initial distribution

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Characteristic functions; other transforms (60E10) 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) Optimal stochastic control (93E20) Sufficient statistics and fields (62B05)

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