Nonlinear filtering for systems with random structure
- 1 November 1986
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 31 (11) , 1064-1068
- https://doi.org/10.1109/tac.1986.1104164
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
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