Title :
Duality of the discrete-time optimal filter and regulator problems
Author_Institution :
Delft University of Technology, Department of Applied Physics, Delft, Netherlands
fDate :
7/1/1983 12:00:00 AM
Abstract :
The duality exhibited between the discrete-time Kalman-Bucy filter with correlated process and measurement noise and the discrete-time optimal regulator is investigated.
Keywords :
Kalman filters; filtering and prediction theory; discrete time optimal regulator; discrete-time Kalman-Bucy filter; duality; filtering; filters; regulators;
Journal_Title :
Control Theory and Applications, IEE Proceedings D
DOI :
10.1049/ip-d.1983.0030
