On the Filtering Problem for Continuous-Time Markov Jump Linear Systems with no Observation of the Markov Chain.
Oswaldo Luiz do Valle CostaMarcelo D. FragosoMarcos G. TodorovPublished in: Eur. J. Control (2011)
Keyphrases
- markov chain
- linear systems
- markov processes
- dynamical systems
- steady state
- sufficient conditions
- finite state
- random walk
- monte carlo
- transition probabilities
- stochastic process
- markov model
- state space
- markov process
- stationary distribution
- coefficient matrix
- monte carlo simulation
- monte carlo method
- transition matrix
- markov chain monte carlo
- probabilistic model
- sparse linear systems