Optimal model matching problem for stochastic signals with an unknown fast decreasing spectral density

DOI10.1134/S1064562411010042zbMath1261.93089MaRDI QIDQ656263

V. A. Yakubovich, Anton V. Proskurnikov

Publication date: 17 January 2012

Published in: Doklady Mathematics (Search for Journal in Brave)

zbMATH Keywords

control theorystationary processspectral densitylinear stochastic differential equationbenchmark trackingdesign of optimal controlsexternal signalslinear-quadratic functionaloptimal model matchingproblem for stochastic signalssources of noise

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Problems with incomplete information (optimization) (49N30)

Cites Work

• A frequency theorem in control theory
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