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

DOI10.1080/00207178308932978zbMath0506.93057OpenAlexW4249862012MaRDI QIDQ4744160

Uri Shaked

Publication date: 1983

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

Full work available at URL: https://doi.org/10.1080/00207178308932978

zbMATH Keywords

optimal filterKalman gainlinear optimal estimation problemminimum-error covariance matrix

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) 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)

Cites Work

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• Generalized quadratic weights for asymptotic regulator properties
• Criterion for the convergence of the solution of the Riccati differential equation
• The asymptotic behavior of constant-coefficient Riccati differential equations
• A general transfer function approach to linear stationary filtering and steady-state optimal control problems
• Quadratic weights for asymptotic regulator properties

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