C.F.Martin, “Control Theoretic Smoothing Spline

Abstract—In this paper some of the relationships between op-timal control and statistics are examined. We produce generalized, smoothing splines by solving an optimal control problem for linear control systems, minimizing the 2-norm of the control signal, while driving the scalar output of the control system close to given, prespecified interpolation points. We then prove a convergence result for the smoothing splines, using results from the theory of numerical quadrature. Finally, we show, in simulations, that our approach works in practice as well as in theory. Index Terms—Interpolation, linear systems, optimal control, smoothing splines. I