A convex optimization approach to filtering in jump linear systems with state dependent transitions
DOI10.1016/J.AUTOMATICA.2009.11.011zbMATH Open1205.93146OpenAlexW2103447777MaRDI QIDQ983944FDOQ983944
Authors: Agostino Capponi 
Publication date: 13 July 2010
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2009.11.011
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Convex programming (90C25) Filtering in stochastic control theory (93E11) Linear systems in control theory (93C05) Estimation and detection in stochastic control theory (93E10) Control/observation systems in abstract spaces (93C25)
Cites Work
- Optimally sparse representation in general (nonorthogonal) dictionaries via ℓ 1 minimization
- Detection of abrupt changes: theory and application
- Applications of second-order cone programming
- Optimal selling rules in a regime switching model
- Atomic decomposition by basis pursuit
- The interacting multiple model algorithm for systems with Markovian switching coefficients
- A multiple model multiple hypothesis filter for Markovian switching systems
- CREDIT RISK MODELING WITH MISREPORTING AND INCOMPLETE INFORMATION
Cited In (7)
- Exponential \(H_{\infty }\) filtering for singular systems with Markovian jump parameters
- A new smoothing algorithm for jump Markov linear systems
- Bayesian estimation for jump Markov linear systems with non-homogeneous transition probabilities
- State estimation for discrete-time Markov jump linear systems with time-correlated and mode-dependent measurement noise
- Title not available (Why is that?)
- Delay-dependent \(H_\infty\) filtering of uncertain Markovian jump delay systems via delay-partitioning approach
- On robust \(H_{\infty }\) filtering of uncertain Markovian jump time-delay systems
Uses Software
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