An Identification Procedure for Linear Continuous Time Systems with Jump Parameters

  • Carla A. Schwartz
  • Hitay Özbay
Part of the Progress in Systems and Control Theory book series (PSCT, volume 3)


We formulate an identification procedure for multi-input/ multi-output linear continuous time systems with jump parameters in the absence of observation noise. We assume that the parameters of the system depend on a Markov chain whose matrix of transition rates is unknown. We propose discrete time parameter estimation methods for the continuous time system to be identified. This includes a procedure for estimating the statistics of the Markov chain driving the parameter jumps.


Markov Chain Jump Process Continuous Time System Jump Parameter Finite State Process 
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Copyright information

© Birkhäuser Boston 1990

Authors and Affiliations

  • Carla A. Schwartz
  • Hitay Özbay

There are no affiliations available

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