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JOURNALS // Avtomatika i Telemekhanika // Archive

Avtomat. i Telemekh., 1984 Issue 2, Pages 72–81 (Mi at4611)

This article is cited in 1 paper

Stochastic Systems

Minimax linear filtering of dynamic discrete time processes

G. A. Golubev

Moscow

Abstract: The paper is concerned with linear filtering of dynamic discrete time processes with incomplete data on the disturbing processes, viz. with specified constraints on the variance of these processes and unspecified correlation functions. A game problem statement is provided and conditions are found that must be satisfied by the disturbing process and linear filter which make the saddle point. An example of solving a minimax linear filtering problem is given.

UDC: 621.391.272:519.272


Received: 14.07.1982


 English version:
Automation and Remote Control, 1984, 45:2, 203–211

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