Optimal linear mean square filter for continuous-time jump linear systems

DOI10.1109/TAC.2005.854617MaRDI QIDQ5274148zbMATH OpenOpenAlexFDO

Authors J. Baczynski, Nei C. S. Rocha, Marcelo Dutra Fragoso, Oswaldo Luiz V. Costa

Publication date 12 July 2017

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

Full work available at URL https://doi.org/10.1109/tac.2005.854617

Mathematics Subject Classification ID

Discrete event control/observation systems (93C65) Filtering in stochastic control theory (93E11)

Cited in

(11)

• Decision-control mechanism for Markovian jump linear systems with Gaussian noise
• Robust mode-independent filtering for discrete-time Markov jump linear systems with multiplicative noises
• H_∞ control of continuous-time Markov jump linear systems with detector-based mode information
• \(H_\infty\) filtering of continuous Markov jump linear system with partly known Markov modes and transition probabilities
• Robust mode-independent filtering for discrete-time Markov jump linear systems with multiplicative noises
• Stationary filter for linear minimum mean square error estimator of discrete-time Markovian jump systems
• Stochastic Detectability and Mean Bounded Error Covariance of the Recursive Kalman Filter with Markov Jump Parameters
• Linear Minimum Mean Square Filters for Markov Jump Linear Systems
• On the filtering problem for continuous-time Markov jump linear systems with no observation of the Markov chain
• Separation principle for stochastic control of continuous-time Markov jump linear systems under partial observations
• A convex optimization approach to filtering in jump linear systems with state dependent transitions

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