Array algorithm for filtering of discrete-time Markovian jump linear systems

This paper addresses computational issues of linear minimum mean square error estimators for discrete-time Markovian jump linear systems. It is developed an array algorithm for increasing the advantages of a recursive filter found in the literature. The known advantages of this kind of algorithm, that was originally developed for normal state-space systems, remain valid when it is applied to linear systems subject to Markovian jumps. It is numerically more stable in sense that it presents better conditioning and reduced dynamical range. A numerical example, based on fixed-point implementations, is presented in order to demonstrate the advantage of this algorithm