Optimal state filtering of controllable systems with random structure

DOI10.1134/S1064230707030021zbMATH Open1297.93163OpenAlexW2085092364MaRDI QIDQ465293FDOQ465293

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

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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 (19)

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• Sampling reconstruction of Markov processes with a finite number of states
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• Optimal filtration of the state vector of a continuous linear stochastic dynamic system with the modular structure of a measuring complex
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• Nonlinear filtering for systems with random structure
• Filtering in random-structure systems with application to data processing in electric power systems
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• Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization
• 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
• Title not available (Why is that?)
• Optimal smoothing in systems with random jump structure

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