Nonlinear filtering of an interactive multiple model with small observation noise: numerical methods∗

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

zbMATH Keywords

parameter identificationnonlinear filteringswitchingsdiscrete-time systemasymptotic estimation

Mathematics Subject Classification ID

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)

Related Items (1)

Basic Concepts of Numerical Analysis of Stochastic Differential Equations Explained by Balanced Implicit Theta Methods

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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