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Robust mode-independent filtering for discrete-time Markov jump linear systems with multiplicative noises

โœ Scribed by Costa, O.L.V.; Benites, G.R.A.M.


Book ID
120046504
Publisher
Taylor and Francis Group
Year
2013
Tongue
English
Weight
281 KB
Volume
86
Category
Article
ISSN
0020-7179

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Linear minimum mean square filter for di
โœ Oswaldo L.V. Costa; Guilherme R.A.M. Benites ๐Ÿ“‚ Article ๐Ÿ“… 2011 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 424 KB

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