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Transfer-function solution of the Kalman-Bucy filtering problem. (English) Zbl 0384.93048


MSC:

93E11 Filtering in stochastic control theory
60G35 Signal detection and filtering (aspects of stochastic processes)
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References:

[1] R. E. Kalman R. S. Bucy: New results in linear filtering and prediction theory. Trans. ASME, J. Basic Eng. D 83 (1961), 95-105.
[2] N. N. Kazanjian: Bauer-type factorization of positive matrices and the theory of matrix polynomials orthogonal on the unit circle. Ph. D. dissertation, Polytechnic Institute of New York, Farmingdale 1977. · Zbl 0417.93018
[3] U. Shaked: A general transfer function approach to linear stationary filtering and steady-state optimal control problems. Int. J. Control 24 (1976), 6, 741 - 770. · Zbl 0342.93060
[4] Z. VostrĂ˝: New algorithm for polynomial spectral factorization with quadratic convergence. Kybernetika 12 (1976), 4, 248-259. · Zbl 0353.65029
[5] D. C. Youla: On the factorization of rational matrices. IRE Trans. Information Theory IT-7 (1961), 3, 172-189.
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.