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Optimization of the time of monitoring of a nonstationary process. (English. Russian original) Zbl 0566.93068

Sov. Autom. Control 17, No. 4, 73-76 (1984); translation from Avtomatika 1984, No. 4, 74-77 (1984).
We consider the problem of optimizing the time of readout of information in smoothing of a controllable process on a finite time interval. The mean square error of the control (the variance) at the output of a linear filter is determined in this case by two components and is minimum.

MSC:

93E14 Data smoothing in stochastic control theory
62M20 Inference from stochastic processes and prediction
93E11 Filtering in stochastic control theory
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