Stochastic H/sup ∞/-control of nonlinear discrete-time partially observable systems and dissipation inequalities

2003 ◽  
Author(s):  
C.D. Charalambous ◽  
S.M. Djouadi ◽  
N.U. Ahmed
Keyword(s):  
Discrete Time ◽  
Partially Observable Systems ◽  
Dissipation Inequalities ◽  
Partially Observable

scholarly journals Recursive filters for partially observable finite Markov chains

2005 ◽  
Vol 42 (03) ◽  
pp. 684-697 ◽  
Author(s):  
James Ledoux
Keyword(s):  
Markov Chains ◽  
Discrete Time ◽  
Arrival Process ◽  
Estimation Of Parameters ◽  
Batch Markovian Arrival Process ◽  
Recursive Filters ◽  
Conditional Expectations ◽  
Finite Markov Chains ◽  
Partially Observable ◽  
Recursive Equations

In this note, we consider discrete-time finite Markov chains and assume that they are only partly observed. We obtain finite-dimensional normalized filters for basic statistics associated with such processes. Recursive equations for these filters are derived by means of simple computations involving conditional expectations. An application to the estimation of parameters of the so-called discrete-time batch Markovian arrival process is outlined.

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