Juan Jose Maldonado

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The risk-sensitive filter design problem with respect to the exponential mean-square criterion is considered for stochastic Gaussian systems with polynomial drift terms and intensity parameters multiplying diffusion terms in the state and observations equations. The closed-form suboptimal filtering algorithm is obtained by linearizing a nonlinear third(More)
— This paper presents the mean-square filtering problem for incompletely measured polynomial system states, confused with white Poisson noises, over linear observations. The problem is treated proceeding from the general expression for the stochastic Ito differential of the optimal estimate and the error variance. As a result, the Ito differentials for the(More)
In this paper, the mean-square filtering problem for polynomial system states confused with white Poisson noises over polynomial observations is studied proceeding from the general expression for the stochastic Ito differentials of the mean-square estimate and the error variance. In contrast to the previously obtained results, the paper deals with the(More)
This paper presents the optimal linear-quadratic-Poisson (LQP) controller for stochastic linear systems with Poisson noises and unknown parameters. The optimal controller equations are obtained using the separation principle, whose applicability to the considered problem is substantiated. Performance of the obtained optimal LQP controller is verified in the(More)
This paper presents the mean-square state and parameter estimation problem for stochastic linear systems with unknown multiplicative and additive parameters over linear observations, where unknown parameters are considered Poisson processes. The original problem is reduced to the filtering problem for an extended state vector that incorporates parameters as(More)
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