Optimal state filtering of controllable systems with random structure

DOI10.1134/S1064230707030021MaRDI QIDQ465293zbMATH OpenOpenAlexFDO

Authors A. I. Stefanovich, Andrey V. Borisov

Publication date 31 October 2014

Published in Journal of Computer and Systems Sciences International (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s1064230707030021

zbMATH Keywords

Markov jump processesoptimal filteringFokker-Planck-Kolmogorov equationsstochastic differential systems with random structureZakai equations

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Continuous-time Markov processes on discrete state spaces (60J27) Control/observation systems governed by ordinary differential equations (93C15) Stochastic systems in control theory (general) (93E03)

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Cited in

(23)

• Maximum cross section method in the filtering problem for continuous systems with Markovian switching
• scientific article; zbMATH DE number 14807 (Why is no real title available?)
• An optimal recurrent logical-dynamical filter of a high order and its covariance approximations
• A Wiener filter, state-space flux-optimal control against escape from a potential well
• State Analysis of Hidden Markov Models Governed by Special Jump Processes
• Controllable Markov jump processes. I: Optimum filtering based on complex observations
• Sampling reconstruction of Markov processes with a finite number of states
• scientific article; zbMATH DE number 494425 (Why is no real title available?)
• scientific article; zbMATH DE number 4158527 (Why is no real title available?)
• The small parameter method for solving the problem of optimal stabilization of systems with random structure and random jumps of the phase vector
• Optimal filtration of the state vector of a continuous linear stochastic dynamic system with the modular structure of a measuring complex
• scientific article; zbMATH DE number 1484018 (Why is no real title available?)
• Nonlinear filtering for systems with random structure
• Filtering in random-structure systems with application to data processing in electric power systems
• Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization
• scientific article; zbMATH DE number 3990945 (Why is no real title available?)
• Restricted structure optimal linear pseudo-state filtering for discrete-time systems
• Filtering Processes with Random Structure in Discrete Time
• State-space approach to control design under partial statistical information for exogenous signals
• Sampling and reconstruction of piecewise constant stochastic processes with Erlang stay time in states
• scientific article; zbMATH DE number 4154346 (Why is no real title available?)
• Practical implementation of the solution of the stabilization problem for a linear system with discontinuous random drift by indirect observations
• Optimal smoothing in systems with random jump structure

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