OPTIMAL FILTERING IN DISCRETE-TIME SYSTEMS WITH TIME DELAYS AND MARKOVIAN JUMP PARAMETERS

DOI10.1017/S1446181110000076zbMath1204.93120OpenAlexW2003807109MaRDI QIDQ3057469

Chunyan Han, Huan-Shui Zhang

Publication date: 24 November 2010

Published in: The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s1446181110000076

zbMATH Keywords

time-delay systemsRiccati equationsoptimal filteringMarkovian jump linear systemsreorganized innovation analysis

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Linear systems in control theory (93C05) Stochastic functional-differential equations (34K50)

Related Items (2)

Survey of duality between linear quadratic regulation and linear estimation problems for discrete-time systems ⋮ Linear state estimation for Markov jump linear system with multi-channel observation delays and packet dropouts

Cites Work

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• A Reorganized Innovation Approach to Linear Estimation
• Optimal estimation for continuous-time systems with delayed measurements
• Robust kalman filtering for continuous time-lag systems with markovian jump parameters
• Optimal filtering for linear systems with state and observation delays

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