On state estimation of discrete-time linear systems with multiplicative noises and Markov jumps

In this paper, the state estimation problem for discrete-time linear systems with Markov jumps in the parameters and multiplicative noises is considered. As a result, a novel suboptimal algorithm is proposed in the sense of minimum mean-square error. The proposed algorithm is recursive, and does not increase computation and storage load with time. Computer simulations are carried out to demonstrate the performance of the proposed algorithm.