Nonlinear filtering of an interactive multiple model with small observation noise: numerical methods∗
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Publication:4208310
DOI10.1080/07362999808809554zbMath0910.93081OpenAlexW2047229721MaRDI QIDQ4208310
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Publication date: 18 November 1998
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362999808809554
Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Discrete-time control/observation systems (93C55) Signal detection and filtering (aspects of stochastic processes) (60G35)
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Cites Work
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- Discrete-time stochastic adaptive control with small observation noise
- Weak convergence methods and singularly perturbed stochastic control and filtering problems
- Piecewise Monotone Filtering with Small Observation Noise
- Optimal adaptive LQG control for systems with finite state process parameters
- 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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