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In this paper it is shown that the generalized smoothing spline obtained by solving an optimal control problem for a linear control system converges to a deterministic curve even when the data points are perturbed by random noise. We furthermore show that such a spline acts as a filter for white noise. Examples are constructed that support the practical usefulness of the method as well as gives some hints as to the speed of convergence.
In this paper it is shown that the generalized
smoothing spline
obtained by solving an optimal control problem for a linear control system converges to a deterministic curve even when the data points are perturbed by random noise. We furthermore show that such a spline acts as a filter for white noise.
Examples are constructed that
support the practical usefulness of the method as well as
gives some
hints as to the speed of convergence.
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