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Journal of Automation and Information Sciences

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Journal of Automation and Information Sciences


5 pages

About the Optimal Dual Control Algorithm of Observation of Two Normal Markov Sequences in Infinite Interval

Shamil M. Ihsanov
Ukrainian Radiotechnical Institute, Nikolayev

ABSTRACT

The problem of control of observation of two Gaussian sequences with the unknown variable in time means is discussed. A priori distributions of unknown parameters are also supposed Gaussian forming in time the first order Markov sequences. Compressing property of an operator translating optimal solution in n-th step to optimal solution in n — 1 step is proved and therefore its fixed point is the optimal solution for infinite interval of control.