Recursive linear optimal filter for Markovian jump linear systems with multi-step correlated noises and multiplicative random parameters

DOI10.1080/00207721.2019.1568607zbMath1482.93641OpenAlexW2910888524WikidataQ128592445 ScholiaQ128592445MaRDI QIDQ5025795

Zhi Li, Quan Pan, Yanting Yang, Yanbo Yang, Yuemei Qin

Publication date: 7 February 2022

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207721.2019.1568607

zbMATH Keywords

orthogonal projectionMarkovian jump linear systemsmultiplicative random parametersnoise correlationrecursive linear optimal filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55) Linear systems in control theory (93C05)

Related Items (2)

Sequential fusion estimation for Markov jump systems with heavy-tailed noises ⋮ A mean-field formulation for the mean-variance control of discrete-time linear systems with multiplicative noises

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