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Kalman filter for controlled hybrid systems
Authors:Boris M. Miller  Evgeny Ya. Rubinovich  
Affiliation:a Institute for Information Transmission Problem, 19 Ermolovoy Str., Moscow 101447, Russia;b Institute of Control Sciences, 65 Profsoyuznaya Str., Moscow 117997, Russia
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.
Keywords:Kalman filter   Optimal control   Hybrid systems   Stochastic systems
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