Suboptimal Markovian smoothing estimates based on continuous curves of solutions of the algebraic Riccati inequality
type: Item
instance of: scholarly article
title: Suboptimal Markovian smoothing estimates based on continuous curves of solutions of the algebraic Riccati inequality
zbMATH Open document ID: 1004.93045
DOI: 10.1016/S0005-1098(02)00019-5
author: Michele Pavon
author: Harald K. Wimmer
published in: Automatica
publication date: 2002-09-05T00:00:00Z
review text: Consider the steady state smoothing problem for linear stochastic models of the form \[ dx= Fx dt+ B_1 du+ B_2dv,\quad dy= Hx dt+ R^{1/2} du, \] where \((du,dv)\) is a standard \(p\)-dimensional Wiener process and \(B_2\neq 0\). Suboptimal Markov smoothing estimates are derived using continuous curve solutions to an algebraic Riccati inequality, which in turn are constructed on the basis of a result on continuous dependence of solutions to an algebraic Riccati equation on the data matrices.
Mathematics Subject Classification ID: 93E14
zbMATH DE Number: 1797080
zbMATH Keywords: algebraic Riccati inequality
zbMATH Keywords: Markovian smooth estimates
reviewed by: Heinrich Hering
describes a project that uses: Algorithm 432
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 1797080