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Recursive Filtering *
Author(s) -
Willems Jan C.
Publication year - 1978
Publication title -
statistica neerlandica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.52
H-Index - 39
eISSN - 1467-9574
pISSN - 0039-0402
DOI - 10.1111/j.1467-9574.1978.tb01382.x
Subject(s) - linear quadratic gaussian control , kalman filter , mathematics , gaussian , control theory (sociology) , exposition (narrative) , optimal control , optimal projection equations , stochastic control , mathematical optimization , computer science , control (management) , statistics , artificial intelligence , art , physics , literature , quantum mechanics
The purpose of this paper is to give an exposition of the theory behind the Kalman filter and its application to the so‐called LQG‐problem. This problem is concerned with the stochastic optimal control of a linear system with respect to a quadratic cost in the presence Gaussian disturbances.