On error of estimation and minimum of
cost for wide band noise driven systems
Agamirza E. Bashirov
Department of Mathematics
Eastern Mediterranean University
1 DESCRIPTION OF THE PROBLEM
The suggested open problem concerns the error of estimation and the minimum of the cost in the filtering and optimal control problems for a partially observable linear system corrupted by wide band noise processes.
Recent results allow to construct a wide band noise process in a certain integral form on the basis of its autocovariance function and design the optimal filter and the optimal control for a partially observable linear system corrupted by such wide band noise processes. Moreover, explicit ...