A direct derivation of the optimal linear filter using the maximum principle

Abstract

The purpose of this paper is to present an alternate derivation of optimal linear filters. The basic technique is the use of a matrix version of the maximum principle of Pontryagin coupled with the use of gradient matrices to derive the optimal values of the filter coefficients for minimum variance estimation under the requirement that the estimates be unbiased. The optimal filter which is derived turns out to be identical to the well-known Kalman-Bucy filter.