A Kalman-tracking filter approach to nonlinear programming

DOI10.1016/0898-1221(90)90149-EzbMath0713.90073MaRDI QIDQ750314

D. Kharzeev

Publication date: 1990

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

zbMATH Keywords

trackingapproximation errorsstochastic noisetwo-level Kalman filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Nonlinear programming (90C30) Stochastic programming (90C15) Computational methods for problems pertaining to operations research and mathematical programming (90-08)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Tracking and data association
• Factorization methods for discrete sequential estimation
• Minimization of functions having Lipschitz continuous first partial derivatives
• Convergence Properties of Algorithms for Nonlinear Optimization
• Stochastic approximation method with gradient averaging for unconstrained problems
• Gradient-Type Algorithms for Partial Singular Value Decomposition
• Analysis of recursive stochastic algorithms
• Stochastic Estimation of the Maximum of a Regression Function
• A Stochastic Approximation Method

This page was built for publication: A Kalman-tracking filter approach to nonlinear programming