Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
Online ISSN : 2188-4749
Print ISSN : 2188-4730
第42回ISCIE「確率システム理論と応用」国際シンポジウム(2010年11月, 岡山)
H Estimation for Linear Continuous-Time Markovian Jump Systems by Game Theoretic Approach
Gou Nakura
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2011 年 2011 巻 p. 154-162

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In this paper we study the H state estimation problems for a class of linear continuous-time Markovian jump systems. We adopt a game theoretic approach and stochastic variational calculus method to derive estimates and forms of dynamic estimators on the fixed time interval. The necessary and sufficient conditions for the solvability of the H state estimation problems are given by the coupled Riccati differential equations with initial conditions.
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© 2011 ISCIE Symposium on Stochastic Systems Theory and Its Applications
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