An online sequential algorithm for the estimation of transition probabilities for jump Markov linear systems

DOI10.1016/J.AUTOMATICA.2006.05.002zbMath1114.93103OpenAlexW1983191662MaRDI QIDQ880350

Umut Orguner, Mübeccel Demirekler

Publication date: 15 May 2007

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2006.05.002

zbMATH Keywords

stochastic approximationtransition probabilityjump Markov linear systemsKullback-Leibler distance measure

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Linear systems in control theory (93C05) Optimal stochastic control (93E20)

Related Items (9)

Recursive estimation for Markov jump linear systems with unknown transition probabilities: a compensation approach ⋮ Maximum likelihood state estimation for Markov jump systems with uncertain mode-dependent delays ⋮ Data-driven switching modeling for MPC using regression trees and random forests ⋮ Constrained state estimation for stochastic jump systems: moving horizon approach ⋮ Sequential fusion estimation for Markov jump systems with heavy-tailed noises ⋮ A survey on hidden Markov jump systems: asynchronous control and filtering ⋮ A novel system identification algorithm for nonlinear Markov jump system ⋮ Optimal state estimation for discrete-time Markov jump systems with missing observations ⋮ Risk-sensitive filtering for jump Markov linear systems

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