scientific article; zbMATH DE number 6968012

zbMath1398.93001MaRDI QIDQ4962116

Peter E. Caines

Publication date: 30 October 2018

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

predictionsystem identificationparameter estimationsmoothingfeedbackfilteringrecursive estimationsystem modellingstochastic realizationadaptive control algorithmsself-tuningcomplete and partial informationlinear stochastic systems in discrete timeminimum- variance control

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Filtering in stochastic control theory (93E11) Economic time series analysis (91B84) Adaptive control/observation systems (93C40) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05) Identification in stochastic control theory (93E12) Optimal stochastic control (93E20) Realizations from input-output data (93B15) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to systems and control theory (93-01)

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Convex analysis for LQG systems with applications to major-minor LQG mean-field game systems

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