An Optimization Theory for Time-Varying Linear Systems with Nonstationary Statistical Inputs
- 1 August 1952
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in Proceedings of the IRE
- Vol. 40 (8), 977-981
- https://doi.org/10.1109/jrproc.1952.274135
Abstract
The mean-square optimization problem is stated for time-varying systems with nonstationary statistical input functions. Correlation functions are defined for nonstationary ensembles. The mean-square error is calculated in terms of these correlation functions. The integral equation defining the optimum system is determined by minimization of the mean-square error.Keywords
This publication has 3 references indexed in Scilit:
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- Extrapolation, Interpolation, and Smoothing of Stationary Time SeriesPublished by MIT Press ,1949
- A Heuristic Exposition of Wiener's Mathematical Theory of Prediction and FilteringJournal of Mathematics and Physics, 1947