Robust Kalman filter of continuous-time Markov jump linear systems based on state estimation performance

DOI10.1080/00207720701597456zbMath1138.93057MaRDI QIDQ5451164

Jin Zhu, Hong-Sheng Xi, Hai-Bo Ji, Xiaobo Xiao

Publication date: 18 March 2008

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207720701597456

zbMATH Keywords

perturbation bound; Markov jump systems; uncertain noise; guaranteed performance estimation

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

60J25: Continuous-time Markov processes on general state spaces

93E10: Estimation and detection in stochastic control theory

93C05: Linear systems in control theory

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Cites Work

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• The guaranteed estimation performance filter for discrete-time descriptor systems with uncertain noise
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• Minimax state estimation for linear stochastic systems with noise uncertainty
• Solution and asymptotic behavior of coupled Riccati equations in jump linear systems
• Kalman filtering for continuous-time uncertain systems with Markovian jumping parameters
• Robust kalman filtering for continuous time-lag systems with markovian jump parameters