Optimal Interpolation for Linear Stochastic Systems
Copyright policy )Optimal Interpolation for Linear Stochastic Systems
The author solves the following interpolation problem: determine the best least-squares estimate of a Gauss-Markov state process X, generated by \(dX=AXdt+BdW\), given the increments on the intervals \([0,T_ 1]\) and \([T_ 2,T]\) (with \(0
- University of Padua Italy
Estimation and detection in stochastic control theory, Gaussian processes, Data smoothing in stochastic control theory, noisy observation, interpolation, Stochastic ordinary differential equations (aspects of stochastic analysis), Linear systems in control theory, Realizations from input-output data, Stochastic systems in control theory (general), Gauss-Markov state process, Interpolation in approximation theory, Signal detection and filtering (aspects of stochastic processes)
Estimation and detection in stochastic control theory, Gaussian processes, Data smoothing in stochastic control theory, noisy observation, interpolation, Stochastic ordinary differential equations (aspects of stochastic analysis), Linear systems in control theory, Realizations from input-output data, Stochastic systems in control theory (general), Gauss-Markov state process, Interpolation in approximation theory, Signal detection and filtering (aspects of stochastic processes)
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