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
fDate :
11/1/1986 12:00:00 AM
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;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1986.1104164
