Filtering S-coupled algebraic Riccati equations for discrete-time Markov jump systems

DOI10.1016/J.AUTOMATICA.2017.05.007zbMATH Open1373.93349OpenAlexW2623165261MaRDI QIDQ1679073FDOQ1679073

Authors: Oswaldo Luiz do Valle Costa, Danilo Zucolli Figueiredo 

Publication date: 8 November 2017

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2017.05.007

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zbMATH Keywords

Markov modelsdiscrete-time systemsfiltering problemsoptimal filteringRiccati equationsstochastic jump processes

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10)

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Cited In (4)

• Generalized coupled algebraic Riccati equations for discrete-time Markov jump with multiplicative noise systems
• Stability and bounded real lemmas of discrete-time MJLSs with the Markov chain on a Borel space
• An iterative algorithm for coupled Riccati equations in continuous-time Markovian jump linear systems
• Discrete-time coupled Riccati equations for systems with Markov switching parameters

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