Linear minimum mean square filter for discrete-time linear systems with Markov jumps and multiplicative noises

DOI10.1016/j.automatica.2011.01.015zbMath1219.93127OpenAlexW2018048519MaRDI QIDQ716120

Guilherme R. A. M. Benites, Oswaldo L. V. Costa

Publication date: 19 April 2011

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2011.01.015

zbMATH Keywords

Riccati equationsKalman filtersmultiplicative noisejump processfiltering theory

Mathematics Subject Classification ID

Related Items (19)

ReliableH_∞Filtering for Mixed Time-Delay Systems with Stochastic Nonlinearities and Multiplicative Noises ⋮ RobustH_∞control of stochastic linear switched systems with dwell time ⋮ Robust \(H_\infty\) output tracking control for fuzzy networked systems with stochastic sampling and multiplicative noise ⋮ Optimal \(\mathcal H_2\) filtering for periodic linear stochastic systems with multiplicative white noise perturbations and sampled measurements ⋮ AnH₂-Type Norm of a Discrete-Time Linear Stochastic System with Periodic Coefficients Simultaneously Affected by an Infinite Markov Chain and Multiplicative White Noise Perturbations ⋮ Robust probabilistic sampling \(H_\infty\) output tracking control for a class of nonlinear networked systems with multiplicative noises ⋮ Kalman filtering for discrete stochastic systems with multiplicative noises and random two-step sensor delays ⋮ Quadratic estimation problem in discrete-time stochastic systems with random parameter matrices ⋮ A reduced-order fault detection filtering approach for continuous-time Markovian jump systems with polytopic uncertainties ⋮ Observer‐based H_∞ control of discrete Markovian jump delay systems with random packet losses and multiplicative noises ⋮ Distributed fusion estimation with square-root array implementation for Markovian jump linear systems with random parameter matrices and cross-correlated noises ⋮ Robust state-feedback control of stochastic state-multiplicative discrete-time linear switched systems with dwell time ⋮ Robust mode-independent filtering for discrete-time Markov jump linear systems with multiplicative noises ⋮ Mode-independentH_∞filtering for discrete-time Markov jump linear system with parametric uncertainties and quantized measurements ⋮ State estimation for asynchronous sensor systems with Markov jumps and multiplicative noises ⋮ Observer-basedH_∞fuzzy control for discrete-time Takagi–Sugeno fuzzy mixed delay systems with random packet losses and multiplicative noises ⋮ Robust mode-independent filtering for discrete-time Markov jump linear systems with multiplicative noises ⋮ Recursive linear optimal filter for Markovian jump linear systems with multi-step correlated noises and multiplicative random parameters ⋮ Linear state estimation for Markov jump linear system with multi-channel observation delays and packet dropouts

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