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

Author(s):  
C.D. Charalambous ◽  
S.M. Djouadi ◽  
N.U. Ahmed
2005 ◽  
Vol 42 (03) ◽  
pp. 684-697 ◽  
Author(s):  
James Ledoux

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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