One-step fixed-lag smoothers for Markovian switching systems

DOI10.1109/9.508915MaRDI QIDQ4896772zbMATH OpenOpenAlexFDO

Authors Ronald E. Helmick, William D. Blair, Scott A. Hoffman

Publication date 22 October 1996

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

Full work available at URL https://doi.org/10.1109/9.508915

zbMATH Keywords

Markov chaindiscrete-timelinearMarkovian switching systemsGaussian systemssmoothing algorithmsmultiple model

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35) Discrete-time control/observation systems (93C55) Data smoothing in stochastic control theory (93E14)

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Cited in

(6)

• A new smoothing algorithm for jump Markov linear systems
• Direct, prediction- and smoothing-based Kalman and particle filter algorithms
• Smoothing for linear systems erxcited by point processes with state–dependent rates
• Tracking of multiple maneuvering targets in clutter using IMM/JPDA filtering and fixed-lag smoothing
• State smoothing in Markov jump systems with lagged mode observation
• Robust fixed-lag smoothing under model perturbations

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