Optimal level-crossing prediction for jump linear MIMO dynamical systems

DOI10.1016/J.AUTOMATICA.2013.04.008MaRDI QIDQ2628678zbMATH OpenOpenAlexFDO

Authors Rodney A. Martin

Publication date 2 June 2017

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.automatica.2013.04.008

zbMATH Keywords

Kalman filtersmultivariable systemsprediction problemsprediction methodsalarm systems

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Linear systems in control theory (93C05) Multivariable systems, multidimensional control systems (93C35) Estimation and detection in stochastic control theory (93E10)

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Cites work

• scientific article; zbMATH DE number 1242259 (Why is no real title available?)
• scientific article; zbMATH DE number 1444364 (Why is no real title available?)
• A State-Space Approach to Optimal Level-Crossing Prediction for Linear Gaussian Processes
• Errata for “A State-Space Approach to Optimal Level-Crossing Prediction for Linear Gaussian Processes” [Oct 10 5083-5096]
• Level crossing prediction with neural networks
• Model processes in nonlinear prediction with application to detection and alarm
• OPTIMAL PREDICTION OF CATASTROPHES IN AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• Optimal prediction of catastrophes with applications to Gaussian processes
• Optimal prediction of level crossings in Gaussian processes and sequences

Cited in

(1)

• Extreme value analysis of optimal level-crossing prediction for linear Gaussian processes

Describes a project that uses

Uses Software

• CVX

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