Kalman-type filtering for stochastic systems with state-dependent noise and Markovian jumps

IFAC Proceedings Volumes (IFAC-PapersOnline)

Volumn 15, Issue PART 1, 2009, Pages 1375-1380

  Stoica, A M ^a   Dragan, V ^b   Yaesh, I ^c  

^a UNIVERSITY POLITEHNICA OF BUCHAREST   (Romania)

^b INSTITUTE OF MATHEMATICS   (Romania)

^c IMI Advanced Systems Div   (Israel)

Author keywords

Kalman filters; Markov parameters; Numerical algorithms; Riccati equations; Stochastic systems

Indexed keywords

CONTINUOUS TIME; DISCRETE-TIME MODEL; FILTERING PROBLEMS; KALMAN-FILTERING; LINEAR STOCHASTIC SYSTEM; MARKOV PARAMETERS; MARKOVIAN JUMPS; NUMERICAL ALGORITHMS; OPTIMAL FILTER; STATE-DEPENDENT; STATE-DEPENDENT NOISE; UNIFIED APPROACH;

ALGORITHMS; KALMAN FILTERS; RICCATI EQUATIONS; WHITE NOISE;

STOCHASTIC SYSTEMS;

EID: 79952489619     PISSN: 14746670     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.3182/20090706-3-FR-2004.0236     Document Type: Conference Paper

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