Some Algorithmic Problems in Linear Systems I.

Abstract

A comprehensive study of the stochastic realization problem was undertaken both in its algorithmic and structural aspects. A geometric state space theory of linear stochastic systems was obtained, providing a complete characterization of all stochastic realizations. The phenomenon of invariant directions of the matrix Riccati equation was investigated in this framework, clarifying its connections to filtering algorithms as well as to geometric aspects of linear systems theory. Non-Riccati algorithms for generating spectral factors were introduced. Work was initiated to develop a comprehensive framework for algorithms of this type through transformations in Hamiltonian systems. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Mar 01, 1979
Accession Number
ADA070138

Entities

People

  • Anders Lindquist

Organizations

  • University of Kentucky

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Algorithms
  • Data Science
  • Difference Equations
  • Equations
  • Filtration
  • Gaussian Processes
  • Information Science
  • Information Theory
  • Kalman Filtering
  • Kalman Filters
  • Linear Systems
  • Mathematical Filters
  • Riccati Equation
  • Stationary Processes
  • Statistical Algorithms
  • Stochastic Processes
  • Students

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Theoretical Analysis.

Technology Areas

  • Space