Recursive Filtering*

Jan C. Willems

Statistica Neerlandica, 1978, vol. 32, issue 1, 1-39

Abstract: 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.

Date: 1978
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