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  • 1
    Electronic Resource
    Electronic Resource
    Springer
    ISSN: 1573-2878
    Keywords: Nonlinear filtering ; hybrid systems ; non-Gaussian noises ; most probable trajectory estimates
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics
    Notes: Abstract This paper is concerned with discrete-time hybrid filtering of linear non-Gaussian systems coupled by a hidden switching process. An optimal control approach is used to derive a finite-dimensional recursive filter which is optimal in the sense of the most probable trajectory estimate. Models with unknown switching distributions are considered. Extensions to nonlinear hybrid systems are given. Numerical examples are considered and computational experiments are reported. These examples demonstrate that our filtering scheme outperforms popular filtering schemes available in the literature.
    Type of Medium: Electronic Resource
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