Impulse control in Kalman-like filtering problems
type: Item
instance of: scholarly article
title: Impulse control in Kalman-like filtering problems
zbMATH Open document ID: 0905.34064
DOI: 10.1155/S104895339800001X
author: Michael Basin
author: M. A. Pinsky
published in: Journal of Applied Mathematics and Stochastic Analysis
publication date: 1999-02-09T00:00:00Z
full work available at URL: https://eudml.org/doc/48055
review text: Summary: The authors develop an impulse control approach to the observation process in Kalman-like filtering problems, which is based on impulsive modeling of the transition matrix in an observation equation. The impulse control generates jumps of the estimate variance from its current position down to zero and, as a result, enables one to obtain filtering equations for the Kalman estimate with zero variance for all post-jump time moments. Filtering equations for the estimates with zero variances are obtained in the conventional linear filtering problem and in the case of scalar nonlinear state and nonlinear observation equations.
Mathematics Subject Classification ID: 34K20
Mathematics Subject Classification ID: 93D99
Mathematics Subject Classification ID: 93E11
Mathematics Subject Classification ID: 93B07
zbMATH DE Number: 1204248
zbMATH Keywords: filtering equations
zbMATH Keywords: impulse control approach
zbMATH Keywords: Kalman-like filtering problems
zbMATH Keywords: transition matrix
zbMATH Keywords: observation equation
zbMATH Keywords: scalar nonlinear state and nonlinear observation equations
MaRDI profile type: Publication
OpenAlex ID: W2171774035
description: scientific article; zbMATH DE number 1204248