Showing papers by "John B. Moore published in 1971"

The Kalman-Bucy Filter as a True Time-Varying Wiener Filter

Abstract: The notion is exploded that to build a Kalman-Bucy filter, one needs to know the whole structure of the signal generating process. It is shown that the filter is constructible knowing precisely those covariances required to construct a Wiener filter, and no more, and that the filter is independent of the particular models of the processes generating these covariances. Performance of the Kalman-Bucy filter does depend on the models, however. Results are also obtained for the smoothing problem.

Three-term controller parameter selection using suboptimal regulator theory

Abstract: The classical problem of parameter selection of three-term controllers within the framework of suboptimal linear regulator theory is viewed. Iterative techniques are used to determine the controller parameters so that the expected value of a quadratic loss type performance index is minimized, with the initial states of the system a random variable uniformly distributed over a unit sphere.

Study of an integral equation arising in detection theory

Abstract: This paper considers the solution of a Fredholm equation occurring in detection theory problems. A solution procedure, based on solving differential equations with nonmixed boundary conditions, is described for the case when the kernel of the integral equation is known to be the output covariance of a linear finite-dimensional system excited by white noise. Solutions with discontinuities are considered.

Formulas for multidimensional optimal linear filtering in white noise

Abstract: The multidimensional linear-filtering problem for a signal in white noise is considered, and formulas are given for optimum causal and noncausal filters and the associated errors.