Linear minimum mean square filter for discrete-time linear systems with Markov jumps and multiplicative noises

Automatica

Volumn 47, Issue 3, 2011, Pages 466-476

  Costa, Oswaldo L V ^a   Benites, Guilherme R A M ^a  

^a UNIVERSITY OF SÃO PAULO   (Brazil)

Author keywords

Filtering theory; Jump process; Kalman filters; Multiplicative noise; Riccati equations

Indexed keywords

DISCRETE TIME LINEAR SYSTEMS; ERGODICITY; ERROR COVARIANCE MATRIX; FILTERING THEORY; GEOMETRIC ARGUMENTS; JUMP PROCESS; LINEAR MINIMUM MEAN SQUARE ESTIMATOR; LINEAR MINIMUM MEAN SQUARES; MARKOV CHAIN; MEAN SQUARE STABILITY; MULTIPLICATIVE NOISE; OFFLINE;

COVARIANCE MATRIX; KALMAN FILTERS; LINEAR SYSTEMS; MARKOV PROCESSES; OPTIMIZATION; PHASE NOISE;

RICCATI EQUATIONS;

EID: 79952488316     PISSN: 00051098     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.automatica.2011.01.015     Document Type: Article

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