DocumentCode :
813774
Title :
Optimal observations for minimum variance filtering
Author :
Pliska, Stanley R.
Author_Institution :
Northwestern University, Evanston, IL, USA
Volume :
19
Issue :
1
fYear :
1974
fDate :
2/1/1974 12:00:00 AM
Firstpage :
79
Lastpage :
80
Abstract :
Consider optimal filtering for a linear, discrete-time, dynamical system with scaler state xk and observation variance nk1 at time tk . Then the error variance 
corresponding to the minimum-variance estimate of xk given the observations through tj , 
, is a convex function of (n1 . . .,nj ) on the nonnegative orthant of Ri.
corresponding to the minimum-variance estimate of x , is a convex function of (nKeywords :
Linear systems, time-varying discrete-time; State estimation; Costs; Difference equations; Filtering; Kalman filters; Linear systems; Nonlinear filters; Resource management;
fLanguage :
English
Journal_Title :
Automatic Control, IEEE Transactions on
Publisher :
ieee
ISSN :
0018-9286
Type :
jour
DOI :
10.1109/TAC.1974.1100472
Filename :
1100472
Link To Document :
