Linear estimation for discrete-time systems with Markov jump delays

Author

Chunyan, Han ; Huanshui, Zhang

Author_Institution

Sch. of Control Sci. & Eng., Shandong Univ., Jinan

fYear

2008

fDate

16-18 July 2008

Firstpage

100

Lastpage

104

Abstract

This paper investigates the linear minimum mean square error estimation for discrete-time linear systems with Markov jump delays. In order to solve the optimal estimation problem, the single Markov delayed measurement is firstly rewritten as an equivalent measurement with multiple constant delays, and then a delay-free Markov jump linear system is obtained via state augmentation. The estimator is derived on the basis of the geometric arguments in the Hilbert space, and a recursive equation of the filter is obtained by solving the Riccati equations.

Keywords

Hilbert spaces; Markov processes; Riccati equations; delay systems; discrete time systems; estimation theory; linear systems; mean square error methods; recursive filters; Hilbert space; Markov jump delay; Riccati equation; discrete-time system; geometric argument; linear estimation; linear minimum mean square error estimation; linear system; optimal estimation; recursive filter equation; state augmentation; Delay estimation; Delay lines; Estimation error; Filters; Hilbert space; Linear systems; Mean square error methods; Recursive estimation; Riccati equations; State estimation; Discrete-time systems; Linear estimation; Markov jump delays; Riccati equation;

fLanguage

English

Publisher

ieee

Conference_Titel

Control Conference, 2008. CCC 2008. 27th Chinese

Conference_Location

Kunming

Print_ISBN

978-7-900719-70-6

Electronic_ISBN

978-7-900719-70-6

Type

conf

DOI

10.1109/CHICC.2008.4605409

Filename

4605409