Bayesian estimation for jump Markov linear systems with non-homogeneous transition probabilities

DOI10.1016/j.jfranklin.2013.07.006zbMath1293.93730OpenAlexW2078178788MaRDI QIDQ398273

Shunyi Zhao, Fei Liu

Publication date: 15 August 2014

Published in: Journal of the Franklin Institute (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jfranklin.2013.07.006

zbMATH Keywords

state estimationtransition probabilitydiscrete-time non-homogeneous jump Markov linear systems (JMLSs)interacting multiple-model(IMM) filter

Mathematics Subject Classification ID

Related Items (3)

H_∞state-feedback controller design for continuous-time nonhomogeneous Markov jump systems ⋮ State estimation for nonlinear discrete-time systems with Markov jumps and nonhomogeneous transition probabilities ⋮ Adaptive event based fault detection

Cites Work

• An adaptive risk-sensitive filtering method for Markov jump linear systems with uncertain parameters
• A maximum-likelihood Kalman filter for switching discrete-time linear systems
• A novel interacting multiple model algorithm
• A convex optimization approach to filtering in jump linear systems with state dependent transitions
• \(H_\infty \) estimation for discrete-time piecewise homogeneous Markov jump linear systems
• Global exponential estimates for uncertain Markovian jump neural networks with reaction-diffusion terms
• Robust state estimation for uncertain discrete-time stochastic systems with missing measurements
• Stochastic stability analysis for discrete-time singular Markov jump systems with time-varying delay and piecewise-constant transition probabilities
• Risk-sensitive filtering for jump Markov linear systems
• The interacting multiple model algorithm for systems with Markovian switching coefficients
• Asymptotic behavior of Markov systems
• A framework for state-space estimation with uncertain models
• Kalman Filtering With Intermittent Observations: Tail Distribution and Critical Value
• Online Bayesian Estimation of Transition Probabilities for Markovian Jump Systems

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