Optimality for the linear quadratic non-Gaussian problem via the asymmetric Kalman filter

DOI10.1002/ACS.779zbMath1037.93077OpenAlexW2079187065MaRDI QIDQ4458675

Rosario Romera

Publication date: 15 March 2004

Published in: International Journal of Adaptive Control and Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/acs.779

zbMATH Keywords

discrete-time systemsstochastic controlasymmetric Kalman filterasymmetric least-squareslinear quadratic non-Gaussian optimal control

Mathematics Subject Classification ID

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

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