ON DUALITY BETWEEN ESTIMATION AND CONTROL FOR LINEAR STOCHASTIC FUNCTIONAL EVOLUTION-EQUATIONS IN HILBERT-SPACES

被引：0

作者：

CHANG, MH

机构：

[1] Department of Mathematical Sciences University of Alabama in Huntsville, Huntsville

来源：

APPLIED MATHEMATICS AND COMPUTATION | 1995年 / 68卷 / 01期

关键词：

D O I：

10.1016/0096-3003(94)00089-M

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper treats a linear least-squares estimation problem in which both the state and observation processes are governed by infinite-dimensional linear stochastic functional evolution equations. The main result obtained in this paper is expressed in terms of a duality principle between the estimation and a linear-quadratic control problem. As a by-product, the representation of the solution process of the equation is also obtained.

引用

页码：51 / 70

页数：20

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