\(\mathcal H_2\) optimal filtering for continuous-time periodic linear stochastic systems with state-dependent noise

DOI10.1016/J.SYSCONLE.2013.12.020zbMath1288.93086OpenAlexW2053101171MaRDI QIDQ2454060

Samir Aberkane, Vasile Dragan

Publication date: 12 June 2014

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sysconle.2013.12.020

zbMATH Keywords

filteringRiccati differential equationsperiodic stochastic systemsLyapunov differential equations\(\mathcal H_2\) norm

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (5)

Optimal filtering for a class of linear Itô stochastic systems: the dichotomic case ⋮ Optimal \(\mathcal H_2\) filtering for periodic linear stochastic systems with multiplicative white noise perturbations and sampled measurements ⋮ Passive filter design for periodic stochastic systems with quantized measurements and randomly occurring nonlinearities ⋮ \(\mathcal{L}_1 \)-optimal filtering of Markov jump processes. I: Exact solution and numerical implementation schemes ⋮ Optimal sequential fusion estimation for sampled-data systems with random delays and multiplicative noise

Cites Work

• Unnamed Item
• Unnamed Item
• \(H_{\infty }\) filtering with randomly occurring sensor saturations and missing measurements
• Differential equations with positive evolutions and some applications
• Periodic systems. Filtering and control
• A numerical evaluation of solvers for the periodic Riccati differential equation
• Distributed \(\mathcal H_{\infty}\) state estimation with stochastic parameters and nonlinearities through sensor networks: the finite-horizon case
• Mathematical methods in robust control of linear stochastic systems.
• Stochastic \(H^2\) optimal control for a class of linear systems with periodic coefficients
• Differential equations: Stability, oscillations, time lags
• \(H_\infty\) control and estimation of state-multiplicative linear systems.
• On solving periodic Riccati equations
• A view of three decades of linear filtering theory
• Stochastic $H^\infty$
• Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls
• Stochastic differential equations. An introduction with applications.

This page was built for publication: \(\mathcal H_2\) optimal filtering for continuous-time periodic linear stochastic systems with state-dependent noise