DocumentCode
2820493
Title
A general framework for the identification of jump Markov linear systems
Author
Cinquemani, Eugenio ; Porreca, Riccardo ; Ferrari-Trecate, Giancarlo ; Lygeros, John
Author_Institution
ETH Zurich, Zurich
fYear
2007
fDate
12-14 Dec. 2007
Firstpage
5737
Lastpage
5742
Abstract
This paper concerns parameter identification for the class of jump Markov linear systems. We present recursive formulae for the computation of the second-order statistics of a jump Markov process and discuss their application to the estimation of the model parameters given data from a single or repeated experiments. Simulation results are provided to show the effectiveness of our approach.
Keywords
Markov processes; linear systems; parameter estimation; state estimation; statistics; jump Markov linear systems; parameter identification; recursive formulae; second-order statistics; Biological system modeling; Communication system control; Control systems; Equations; Linear systems; Parameter estimation; Statistics; Stochastic systems; Switches; Switching systems;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 2007 46th IEEE Conference on
Conference_Location
New Orleans, LA
ISSN
0191-2216
Print_ISBN
978-1-4244-1497-0
Electronic_ISBN
0191-2216
Type
conf
DOI
10.1109/CDC.2007.4434378
Filename
4434378
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