Nonlinear filtering for systems with random structure

DOI10.1109/TAC.1986.1104164zbMATH Open0614.93058OpenAlexW2086188879WikidataQ57979273 ScholiaQ57979273MaRDI QIDQ4723657FDOQ4723657

Authors: Kenneth A. Loparo, Zvi S. Roth, Steven J. Eckert 

Publication date: 1986

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.1986.1104164

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zbMATH Keywords

Zakai equationapproximate filtersrandom structure systemsseries connection of Kalman filters

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

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• Combined filtering and parameter estimation: Approximations and robustness
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• Convergence of nonlinear filters for randomly perturbed dynamical systems
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• The filtering problem for continuous-time linear systems with Markovian switching coefficients
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• Optimal state filtering of controllable systems with random structure

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