The filtering problem for continuous-time linear systems with Markovian switching coefficients

DOI10.1016/0167-6911(94)90099-XzbMath0866.93096OpenAlexW2084050947MaRDI QIDQ5967070

François Dufour, P. Bertrand

Publication date: 27 February 1997

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6911(94)90099-x

zbMATH Keywords

hybrid systemssuboptimal filteringMarkovian jump process

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10)

Related Items (7)

Robust Kalman filtering for discrete-time Markovian jump systems with parameter uncertainty ⋮ An image-based filter for discrete-time Markovian jump linear systems ⋮ Kalman filtering for linear systems with coefficients driven by a hidden Markov jump process ⋮ Maximal solution to algebraic Riccati equations linked to infinite Markov jump linear systems ⋮ Reduced-order filtering of jump Markov systems with noise-free measurements ⋮ Guaranteed performance robust Kalman filter for continuous-time Markovian jump nonlinear system with uncertain noise ⋮ Lyapunov coupled equations for continuous-time infinite Markov jump linear systems

Cites Work

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• Hybrid adaptive control
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• Relative semi-invariants in the filtration of processes with step components
• Finite dimensional optimal filters for a class of ltô- processes with jumping parameters
• Finite optimal filters for a class of nonlinear diffusions with jumping parameters
• Discrete-time point process filter for mode estimation
• Nonlinear filtering for systems with random structure

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