• DocumentCode
    813774
  • Title

    Optimal observations for minimum variance filtering

  • Author

    Pliska, Stanley R.

  • Author_Institution
    Northwestern University, Evanston, IL, USA
  • Volume
    19
  • Issue
    1
  • fYear
    1974
  • fDate
    2/1/1974 12:00:00 AM
  • Firstpage
    79
  • Lastpage
    80
  • Abstract
    Consider optimal filtering for a linear, discrete-time, dynamical system with scaler state xkand observation variance nk1at time tk. Then the error variance P(k|j) corresponding to the minimum-variance estimate of xkgiven the observations through tj, k \\geq j , is a convex function of (n1. . .,nj) on the nonnegative orthant of Ri.
  • Keywords
    Linear systems, time-varying discrete-time; State estimation; Costs; Difference equations; Filtering; Kalman filters; Linear systems; Nonlinear filters; Resource management;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1974.1100472
  • Filename
    1100472
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=813774