Stochastic sampling algorithms for state estimation of jump Markov linear systems

DOI10.1109/9.839943MaRDI QIDQ4507045zbMATH OpenOpenAlexFDO

Authors Arnaud Doucet, Andrew Logothetis, Vikram Krishnamurthy

Publication date 17 October 2000

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

Full work available at URL https://semanticscholar.org/paper/2d90f5f7c1461206df5e30d3ca049a831d25e896

zbMATH Keywords

data augmentation schemejump Markov linear systemsstate estimationstochastic annealingstochastic sampling methods

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10)

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(24)

• Jump-diffusion Markov processes on orthogonal groups for object pose estimation
• State estimation for discrete-time Markov jump linear systems with time-correlated and mode-dependent measurement noise
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• Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime
• Parameter estimation for jump Markov linear systems
• A new smoothing algorithm for jump Markov linear systems
• Risk-sensitive filtering for jump Markov linear systems
• State estimation and detectability of probabilistic discrete event systems
• Expectation maximization algorithms for MAP estimation of jump Markov linear systems
• Mode-independent H_ filtering for discrete-time Markov jump linear system with parametric uncertainties and quantized measurements
• State estimation of stochastic systems with switching measurements: a polynomial approach
• On Markov-switching ARMA processes-stationarity, existence of moments, and geometric ergodicity
• Recursive estimators with Markovian jumps
• Spectral and graph-theoretic bounds on steady-state-probability estimation performance for an ergodic Markov chain
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• Fast array algorithm for filtering of Markovian jump linear systems
• Linear state estimation for Markov jump linear system with multi-channel observation delays and packet dropouts
• A novel truncated approximation based algorithm for state estimation of discrete-time Markov jump linear systems
• Discussion on: ``Why is resorting to fate wise? A critical look at randomized algorithms in systems and control
• On the filtering problem for continuous-time Markov jump linear systems with no observation of the Markov chain
• State estimation of switched finite-field networks: a multi-valued particle filter approach
• A general autoregressive model with Markov switching: estimation and consistency
• An online sequential algorithm for the estimation of transition probabilities for jump Markov linear systems
• Robust sampled-data \(H_\infty \) control with stochastic sampling

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