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• W1570786763 abstract "We consider a class of hybrid systems which is modelled by continuous-time linear systems with Markovian jumps in the parameters(LSMJP). Our aim is to derive the best linear mean square estimator for such systems. The approach adopted here produces a filter which bears those desirable properties of the Kalman filter: a recursive scheme suitable for computer implementation which allows some offline computation that alleviates the computational burden. Apart from the intrinsic theoretical interest of the problem in its own right and the application-oriented motivation of getting more easily implementable filters, another compelling reason why the study here is pertinent has to do with the fact that the optimal nonlinear filter for our estimation problem is not computable via a finite computation(the filter is infinite dimensional). Our filter has dimension Nn, with n denoting the dimension of the state vector and N the number of states of the Markov chain." @default.
• W1570786763 created "2016-06-24" @default.
• W1570786763 creator A5055822980 @default.
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• W1570786763 date "2001-09-01" @default.
• W1570786763 modified "2023-10-16" @default.
• W1570786763 title "The minimum linear mean square filter for a class of hybrid systems" @default.
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• W1570786763 doi "https://doi.org/10.23919/ecc.2001.7075926" @default.
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