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Unsolved Problems in Mathematical Systems and Control Theory by Vincent D. Blondel, Alexandre Megretski

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Problem 2.1

On error of estimation and minimum of

cost for wide band noise driven systems

Agamirza E. Bashirov

Department of Mathematics

Eastern Mediterranean University

Mersin 10

Turkey

agamirza.bashirov@emu.edu.tr

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 ...

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