“…To solve problem (11), we apply a method of a stage-by-stage optimization. The idea of the method is identical to that of the method described in [17][18][19]. The essence of the method consists in the reduction of the filtering procedure over the entire time interval t ∈ [t 0 , t * ] to the consecutive solution of p filtering problems on small time intervals t ∈ [τ j , τ j+1 ], j = 0, 1, ..., p − 1, where τ j = t 0 + jLΔt, is a time instant from the set {t i , i = 0, 1, ..., M } ⊂ [t 0 , t * ], L > 0, p > 0 are integers.…”