Scattering theory and linear least squares estimation: Part I: Continuous-time problems

Research output: Contribution to journalArticle

Abstract

The Riccati equation plays as important a role in scattering theory as it does in linear least squares estimation theory. However, in the scattering literature, a somewhat different framework of treating the Riccati equation has been developed. This framework is shown to be appropriate for estimation problems and makes possible simple derivations of known results as well as leading to several new results. Examples include the derivation of backward equations to solve forward Riccati equations, an analysis of the asymptotic behavior of the Riccati equation, the derivation of backward Markovian representations of stochastic processes, and new derivations and new insights into the Chandrasekhar and related Levinson and Cholesky equations.

Details

Authors
  • Lennart Ljung
  • Thomas Kailath
  • Benjamin Friedlander
Organisations
Research areas and keywords

Subject classification (UKÄ) – MANDATORY

  • Control Engineering
Original languageEnglish
Pages (from-to)131-139
JournalProceedings of the IEEE
Volume64
Issue number1
Publication statusPublished - 1976
Publication categoryResearch
Peer-reviewedYes