Estimation of Markovian jump systems with unknown transition probabilities through Bayesian sampling

DOI10.1007/3-540-36487-0_34MaRDI QIDQ4422898zbMATH OpenFDO

Authors V. P. Jilkov, Xiaorong Li, Donka Angelova

Publication date 24 August 2003

Published in Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL http://link.springer.de/link/service/series/0558/bibs/2542/25420307.htm

zbMATH Keywords

algorithmBayesian samplingdynamic Markovian jump systemsMarkov chainMonte Carlo methodstochastic simulation methods

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

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• Bayesian estimation for jump Markov linear systems with non-homogeneous transition probabilities
• Stochastic sampling algorithms for state estimation of jump Markov linear systems
• Maximum Likelihood Estimation of Transition Probabilities of Jump Markov Linear Systems
• State estimation for nonlinear discrete-time systems with Markov jumps and nonhomogeneous transition probabilities
• An online sequential algorithm for the estimation of transition probabilities for jump Markov linear systems

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