\(\mathcal H_2\) optimal filtering for continuous-time periodic linear stochastic systems with state-dependent noise

DOI10.1016/j.sysconle.2013.12.020zbMath1288.93086OpenAlexW2053101171MaRDI QIDQ2454060

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)

Related Items (4)

Optimal filtering for a class of linear Itô stochastic systems: the dichotomic case ⋮ Optimal \(\mathcal H_2\) 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 ⋮ \(\mathcal{L}_1 \)-optimal filtering of Markov jump processes. I: Exact solution and numerical implementation schemes

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