Output-induced subspaces, invariant directions and interpolation in linear discrete-time stochastic systems

Author

Lindquist, Anders ; Michaletzky, György

Author_Institution

Div. of Optimization & Syst. Theory, R. Inst. of Technol., Stockholm, Sweden

Volume

3

fYear

1997

fDate

10-12 Dec 1997

Firstpage

2815

Abstract

We analyze the structure of the class of discrete-time linear stochastic systems in terms of the geometric theory of stochastic realization. We discuss the role of invariant directions, zeros of spectral factors and output-induced subspaces in determining the systems-theoretical properties of the stochastic systems. A prototype interpolation problem for recovering lost state information is discussed and it is shown how it can be solved via Kalman filtering recursions tying together the state processes of a family of totally ordered splitting subspaces

Keywords

stochastic systems; Kalman filtering recursions; geometric theory; interpolation problem; invariant directions; linear discrete-time stochastic systems; lost state information; output-induced subspaces; spectral factors; state processes; stochastic realization; totally ordered splitting subspaces; Information filtering; Information filters; Interpolation; Kalman filters; Prototypes; Riccati equations; State estimation; State-space methods; Stochastic processes; Stochastic systems;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 1997., Proceedings of the 36th IEEE Conference on

Conference_Location

San Diego, CA

ISSN

0191-2216

Print_ISBN

0-7803-4187-2

Type

conf

DOI

10.1109/CDC.1997.657839

Filename

657839