• DocumentCode
    1247879
  • Title

    Optimal State Estimation for Discrete-Time Markovian Jump Linear Systems, in the Presence of Delayed Output Observations

  • Author

    Matei, Ion ; Baras, John S.

  • Author_Institution
    Electr. Eng. Dept., Univ. of Maryland, College Park, MD, USA
  • Volume
    56
  • Issue
    9
  • fYear
    2011
  • Firstpage
    2235
  • Lastpage
    2240
  • Abstract
    We investigate the design of optimal state estimators for Markovian Jump Linear Systems. We consider that the output observations and the mode observations are affected by delays not necessarily identical. Our objective is to design optimal estimators for the current state, given current and past observations. We provide a solution to this paradigm by giving an optimal recursive estimator for the state, in the minimum mean square sense, and a finitely parameterized recursive scheme for computing the probability mass function of the current mode conditioned on the observed output. We also show that if the output delay is less then the one in observing the mode, then the optimal state estimation becomes nonlinear in the output observations.
  • Keywords
    Markov processes; delays; discrete time systems; linear systems; mean square error methods; probability; state estimation; stochastic systems; delayed output observations; discrete-time Markovian jump linear systems; minimum mean square sense; optimal recursive estimator; optimal state estimation design; probability mass function; Delay; Equations; Kalman filters; Linear systems; Mathematical model; Random processes; Sensors; Markovian jump linear systems (MJLS); minimum mean square error (MMSE);
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.2011.2160027
  • Filename
    5893915