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We give some fairly general circumstances under which the experimental design problem for linear dynamic systems with correlated noise can be put in the exact form of the Kiefer-Wolfowitz experimental design problem. Optimal inputs are characterized in terms of their spectral measures with respect to a resolution of the identity in a certain reproducing kernel Hilbert space. Numerical methods established for the Kiefer-Wolfowitz design problem then apply to the numerical determination of an optimal spectral measure.
Date of Publication: Apr 1980