State and Mode Estimation for Discrete-Time Jump Markov Systems

DOI10.1137/S0363012904442628zbMATH Open1130.93423OpenAlexW2598219059MaRDI QIDQ5700564FDOQ5700564

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Publication date: 28 October 2005

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0363012904442628

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zbMATH Keywords

smoothingViterbi algorithmfilteringreference probabilityhybrid dynamicsjump Markov systems

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Data smoothing in stochastic control theory (93E14)

Cited In (19)

• State estimation of stochastic systems with switching measurements: a polynomial approach
• Title not available (Why is that?)
• Stochastic sampling algorithms for state estimation of jump Markov linear systems
• A maximum-likelihood Kalman filter for switching discrete-time linear systems
• Expectation maximization algorithms for MAP estimation of jump Markov linear systems
• Exact inference for a class of hidden Markov models on general state spaces
• Luenberger observers for switching discrete-time linear systems
• Discussion on “Optimal Sequential Surveillance for Finance, Public Health, and Other Areas” by Marianne Frisén
• Stabilization of Markov jump linear systems using quantized state feedback
• Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise
• State estimation for discrete-time Markov jump linear systems with time-correlated and mode-dependent measurement noise
• Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises
• Generalized dissipative state estimation for discrete-time nonhomogeneous semi-Markov jump nonlinear systems
• State Estimation in Partially Observed Stochastic Networks with Queueing Applications
• State smoothing in Markov jump systems with lagged mode observation
• Filtering in random-structure systems with application to data processing in electric power systems
• State estimation for Markovian jump linear systems with bounded disturbances
• Stochastic Detectability and Mean Bounded Error Covariance of the Recursive Kalman Filter with Markov Jump Parameters
• A novel truncated approximation based algorithm for state estimation of discrete-time Markov jump linear systems

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