Optimal Linear Mean Square Filter for Markov Jump Linear Systems with Hidden Markov Chain and Partial Observations of the State.
Fortia V. VergesMarcelo D. FragosoPublished in: ECC (2020)
Keyphrases
- markov chain
- linear systems
- optimal linear
- state space
- transition probabilities
- partial observations
- sufficient conditions
- dynamical systems
- markov model
- finite state
- random walk
- partially observable
- state variables
- dynamic programming
- optimal policy
- reinforcement learning
- markov decision processes
- machine learning
- higher order
- nearest neighbor
- search algorithm
- action models
- learning algorithm