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An Optimization Theory for Time-Varying Linear Systems with Nonstationary Statistical Inputs

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1 Author(s)
Booton, R.C. ; Dynamic Analysis and Control Laboratory, Massachusetts Institute of Technology, Cambridge, Mass.

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.

Published in:

Proceedings of the IRE  (Volume:40 ,  Issue: 8 )