Duality Theory in Filtering Problem for Discrete Volterra Equations
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چکیده
The ltering problem for discrete Volterra equations is a nontrivial task due to an increasing dimension of the equivalent single step process model A di erence equation of a moderate dimension is chosen as an approximate model for the original system Then the reduced Kalman lter can be used as an approximate but e cient estimator Using the duality theory of convex variational problems a level of nonoptimality for the chosen lter is obtained This level can be e ciently computed without exact solving the full ltering problem Copyright c IFAC
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