A convex optimization approach to filtering in jump linear systems with state dependent transitions

DOI10.1016/j.automatica.2009.11.011zbMath1205.93146OpenAlexW2103447777MaRDI QIDQ983944

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

zbMATH Keywords

trackingestimationKalman filtering

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Convex programming (90C25) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05) Control/observation systems in abstract spaces (93C25)

Related Items (5)

Delay-dependent \(H_\infty\) filtering of uncertain Markovian jump delay systems via delay-partitioning approach ⋮ State estimation for discrete-time Markov jump linear systems with time-correlated and mode-dependent measurement noise ⋮ Bayesian estimation for jump Markov linear systems with non-homogeneous transition probabilities ⋮ On robust H_∞ filtering of uncertain Markovian jump time‐delay systems ⋮ Exponential H _∞ filtering for singular systems with Markovian jump parameters

Uses Software

• PDCO

Cites Work

• Unnamed Item
• Applications of second-order cone programming
• A multiple model multiple hypothesis filter for Markovian switching systems
• Atomic Decomposition by Basis Pursuit
• CREDIT RISK MODELING WITH MISREPORTING AND INCOMPLETE INFORMATION
• The interacting multiple model algorithm for systems with Markovian switching coefficients
• Optimal selling rules in a regime switching model
• Optimally sparse representation in general (nonorthogonal) dictionaries via ℓ ¹ minimization

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