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Algorithms and Theory in Filtering and Control pp 12–26Cite as

The conjugate process in stochastic realization theory

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Part of the book series: Mathematical Programming Studies ((MATHPROGRAMM,volume 18))

Abstract

The topic of this paper is the conjugate process yc and its applications to both continuous and discrete time stochastic realization theory. Stochastic systems whose input or output is yc are presented. These are closely related to the internal realizations of the given process y. New smoothing results, some of which are formulated in terms of the pair (y, yc), are derived. In the discrete time case alternative expressions for the optimal bilateral predictor are presented. Its relation to the smoothing estimate of the observations signal is clarified.

This work was supported partially by the Consiglio Nazionale delle Ricerche under grant CNR-79.00700.01, and partially by the Air Force Office of Scientific Research, USAF Systems Command, under grant AFOSR-78-3519.

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Authors and Affiliations

  1. LADSEB-CNR, 35100, Padova, Italy

    Michele Pavon

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  1. Michele Pavon
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Danny C. Sorensen Roger J. -B. Wets

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© 1982 The Mathematical Programming Society, Inc.

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Pavon, M. (1982). The conjugate process in stochastic realization theory. In: Sorensen, D.C., Wets, R.J.B. (eds) Algorithms and Theory in Filtering and Control. Mathematical Programming Studies, vol 18. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0120969

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  • DOI: https://doi.org/10.1007/BFb0120969

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-00847-4

  • Online ISBN: 978-3-642-00848-1

  • eBook Packages: Springer Book Archive

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