Abstract
The problem of guaranteed estimation (smoothing, filtration, prediction) of a dynamic process observed on a finite discrete time interval is solved, based on generalization of the dynamic programming procedure for the case with sequential optmization in direct and inverse time.
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Bakan, G.M. Guaranteed Dynamic-System State Estimation by the Method of Bidirectional Dynamic Programming. Cybernetics and Systems Analysis 37, 63–74 (2001). https://doi.org/10.1023/A:1016668117171
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DOI: https://doi.org/10.1023/A:1016668117171