Infinite-dimensional filtering: The Kalman\3-Bucy filter in Hilbert space
نویسندگان
چکیده
منابع مشابه
Infinite-Dimensional Filtering: The Kalman-Bucy Filter in Hilbert Space
We examine the question of determining the "best" linear filter, in an expected squared error sense, for a signal generated by stochastic linear differential equation on a Hilbert space. Our results, which extend the development in Kalman and Bucy (1960), rely heavily on the integration theory for Banach-space-valued functions of Dunford and Schwartz (1958). In order to derive the Kalman-Bucy f...
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ژورنال
عنوان ژورنال: Information and Control
سال: 1967
ISSN: 0019-9958
DOI: 10.1016/s0019-9958(67)90417-2