Optimal filtering of discrete-time hybrid systems

DOI10.1023/A:1021768915444zbMath0926.93064OpenAlexW59708634MaRDI QIDQ1281967

Qing Zhang

Publication date: 13 September 1999

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1021768915444

zbMATH Keywords

nonlinear filteringMarkov chainhybrid systemmost probable trajectory estimate

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11)

Related Items (11)

An online sequential algorithm for the estimation of transition probabilities for jump Markov linear systems ⋮ Spectral Bayesian estimation for general stochastic hybrid systems ⋮ Recursive state estimation for hybrid systems ⋮ H2-Filtering for discrete-time hidden Markov jump systems ⋮ Optimal state estimation for discrete-time Markov jump systems with missing observations ⋮ State estimation for discrete-time Markov jump linear systems with time-correlated measurement noise ⋮ Risk-sensitive filtering for jump Markov linear systems ⋮ Linear minimum mean square filter for discrete-time linear systems with Markov jumps and multiplicative noises ⋮ Robust mode-independent filtering for discrete-time Markov jump linear systems with multiplicative noises ⋮ Robust mode-independent filtering for discrete-time Markov jump linear systems with multiplicative noises ⋮ Robust linear filtering for discrete-time hybrid Markov linear systems

Cites Work

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• Weak convergence methods and singularly perturbed stochastic control and filtering problems
• Kalman filtering for linear systems with coefficients driven by a hidden Markov jump process
• Maximum-likelihood recursive nonlinear filtering
• Piecewise Monotone Filtering with Small Observation Noise
• The interacting multiple model algorithm for systems with Markovian switching coefficients
• Nonlinear Filtering and Control of a Switching Diffusion with Small Observation Noise
• Stochastic adaptive control with small observation noise
• The adaptive LQG problem--Part I

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