Abstract
In this article, we complete the theory of estimation of Linear Random Functionals, introduced by the Author, in order to extend the Kalman filter to infinite dimensional linear systems. The objective is to show that all properties for the finite dimensional case remain valid in the framework of Linear Random Functionals (this is thanks to linearity of course).
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3.6 References
A. BENSOUSSAN, Identification et filtrage, Cahiers de l’IRIA nř1,(1969).
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J.L. LIONS, Contrôle optimal de Systèmes aux dérivées partielles, Dunod, Paris (1968).
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Bensoussan, A. (2003). Some Remarks on Linear Filtering Theory for Infinite Dimensional Systems. In: Rantzer, A., Byrnes, C.I. (eds) Directions in Mathematical Systems Theory and Optimization. Lecture Notes in Control and Information Sciences, vol 286. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-36106-5_3
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DOI: https://doi.org/10.1007/3-540-36106-5_3
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