Explicit solutions to the linear optimal estimation problem of discrete time invariant linear processes

DOI10.1080/00207178208932926zbMath0494.93044OpenAlexW2078050262MaRDI QIDQ3958361

B. Priel, Uri Shaked

Publication date: 1982

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207178208932926

zbMATH Keywords

Kalman gainlinear optimal estimationminimum error covariance matrixfiltering problem with finite number of measurementsmixed time-and z-domain approachoptimal discrete smoothing

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05) Data smoothing in stochastic control theory (93E14) Transformations (93B17) Model systems in control theory (93C99)

Related Items (1)

Explicit solutions to the singular discrete finite-time linear estimation problem

Cites Work

• Solution of the discrete-time stochastic optimal control problem in the 2-domain
• A transfer function approach to the linear discrete stationary filtering and the steady-state discrete optimal control problems
• Unnamed Item

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