• DocumentCode
    851255
  • Title

    Nonlinear filtering for systems with random structure

  • Author

    Loparo, Kenneth A. ; Roth, Zvi ; Eckert, Steven J.

  • Author_Institution
    Case Western Reserve Univ., Cleveland, OH, USA
  • Volume
    31
  • Issue
    11
  • fYear
    1986
  • fDate
    11/1/1986 12:00:00 AM
  • Firstpage
    1064
  • Lastpage
    1068
  • Abstract
    This note studies the nonlinear filtering problem for a linear system with random structure governed by a finite state Markov process. A characterization of the optimal mean-square filter is derived and some suboptimal filter approximations are presented.
  • Keywords
    Least-squares methods; Linear systems, stochastic; Markov processes; Nonlinear filtering; State estimation, linear systems; Stochastic systems, linear; System identification, linear systems; Differential equations; Filtering; Filters; Forward contracts; Markov processes; Partial differential equations; Random variables; State estimation; Stochastic processes; Stochastic systems;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1986.1104164
  • Filename
    1104164
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=851255