Specific optimal estimation
C. Sims, James L. Melsa · IEEE Transactions on Automatic Control · 1969
The goal of the specific optimal estimation problem is to achieve near-optimal (minimum variance) estimation using a structure that is easier to implement than the optimal solution. One chooses a reasonable configuration for the filter in which certain parameters are unspecified and then selects the parameters so that its performance is optimized. The problem is formulated as a two-point boundary-value problem resulting from consideration of the covariance of error of the estimate and application of the matrix-minimum principle. The examples presented indicate that near-optimal results can be obtained using a filter designed in this way.