H₂ optimal filtering for continuous-time periodic linear stochastic systems with state-dependent noise

DOI10.1016/J.SYSCONLE.2013.12.020MaRDI QIDQ2454060zbMATH OpenOpenAlexFDO

Authors 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)

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Cites work

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• Stochastic \(H^2\) optimal control for a class of linear systems with periodic coefficients
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Cited in

(10)

• \(H_2\) optimal filtering for discrete-time linear stochastic systems with periodic coefficients and Markovian jumping
• Optimal sequential fusion estimation for sampled-data systems with random delays and multiplicative noise
• \(\mathcal{L}_1 \)-optimal filtering of Markov jump processes. I: Exact solution and numerical implementation schemes
• H/sub infinity / state estimation for linear periodic systems
• Optimal filtering for a class of linear Itô stochastic systems: the dichotomic case
• Optimal H₂ 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
• \(H_2\) optimal filtering for bilinear systems
• Optimal H₂ filtering for a class of linear stochastic systems with sampling
• Optimal filtering equations in state space model of the two factors mean reverting Ornstein-Uhlenbech process

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