Robust Kalman filtering for discrete-time Markovian jump systems with parameter uncertainty
type: Item
instance of: scholarly article
title: Robust Kalman filtering for discrete-time Markovian jump systems with parameter uncertainty
zbMATH Open document ID: 1067.93059
author: Magdi S. Mahmoud
author: Peng Shi
author: Abdulla Ismail
published in: Journal of Computational and Applied Mathematics
publication date: 2004-08-16T00:00:00Z
review text: The objective of the paper is to study the state estimation for linear discrete-time systems with Markovian jump parameters. A Kalman Markovian jump filter is given and it is shown that the filtering problem can be solved if two sets of coupled Riccati-like equations have symmetric positive definite solutions. Moreover, the stochastic quadratic estimator guarantees both stochastic stability and estimation error boundedness.
reviewed by: Anna Jaskiewicz
Mathematics Subject Classification ID: 93E11
Mathematics Subject Classification ID: 93C55
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 93E15
Mathematics Subject Classification ID: 93E10
zbMATH DE Number: 2091425
zbMATH Keywords: Kalman filtering
zbMATH Keywords: stochastic stability
zbMATH Keywords: Markovian jump parameter
zbMATH Keywords: linear discrete-time system
zbMATH Keywords: uncertainty
zbMATH Keywords: state estimation
zbMATH Keywords: coupled Riccati equation
MaRDI profile type: Publication
full work available at URL: j.cam.2003.11.002
OpenAlex ID: W2104058245
cites work: Q3993534
cites work: Steady-state Kalman filtering with an \(H_{\infty}\) error bound
cites work: Manufacturing flow control and preventing maintenance: a stochastic control approach
cites work: Robust production and maintenance planning in stochastic manufacturing systems
cites work: On Kalman filtering for conditionally Gaussian systems with random matrices
cites work: Stability results for discrete-time linear systems with Markovian jumping parameters
cites work: Discrete-time LQ-optimal control problems for infinite Markov jump parameter systems
cites work: The filtering problem for continuous-time linear systems with Markovian switching coefficients
cites work: An image-based filter for discrete-time Markovian jump linear systems
cites work: Controllability, stabilizability, and continuous-time Markovian jump linear quadratic control
cites work: Optimal Discounted Stochastic Control for Diffusion Processes
cites work: Guaranteed stabilization of interconnected discrete-time uncertain systems
cites work: Robust performance results for discrete-time systems
cites work: Quadratic stabilization of continuous time systems with state-delay and norm-bounded time-varying uncertainties
cites work: Stability and control for linear systems with jump Markov perturbations
cites work: Filtering on sampled-data systems with parametric uncertainty
cites work: \(H_\infty\)-control for Markovian jumping linear systems with parametric uncertainty
cites work: Kalman filtering for continuous-time uncertain systems with Markovian jumping parameters
cites work: Control of Markovian jump discrete-time systems with norm bounded uncertainty and unknown delay
cites work: A survey of design methods for failure detection in dynamic systems
cites work: \(H_ \infty\) filtering for linear periodic systems with parameter uncertainty
cites work: Robust Kalman filtering for uncertain systems
cites work: Robust Kalman filtering for uncertain discrete-time systems
DOI: 10.1016/J.CAM.2003.11.002
description: scientific article; zbMATH DE number 2091425