Kalman filter for controlled hybrid systems |
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Authors: | Boris M. Miller Evgeny Ya. Rubinovich |
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Affiliation: | a Institute for Information Transmission Problem, 19 Ermolovoy Str., Moscow 101447, Russia;b Institute of Control Sciences, 65 Profsoyuznaya Str., Moscow 117997, Russia |
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Abstract: | The linear partially observed discrete-continuous (hybrid) stochastic controllable system described by differential equations with measures is considered. The optimal filtering equations in the form of generalized Kalman filter are obtained in the case of non-anticipating control. This result could be a theoretical basis for the optimal control in stochastic hybrid systems with incomplete information. |
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Keywords: | Kalman filter Optimal control Hybrid systems Stochastic systems |
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