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Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise

✍ Scribed by Costa, O.L.V.; Okimura, R.T.


Book ID
126734710
Publisher
Taylor and Francis Group
Year
2009
Tongue
English
Weight
214 KB
Volume
82
Category
Article
ISSN
0020-7179

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In this paper we obtain the linear minimum mean square estimator (LMMSE) for discrete-time linear systems subject to state and measurement multiplicative noises and Markov jumps on the parameters. It is assumed that the Markov chain is not available. By using geometric arguments we obtain a Kalman t