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
Link To Document