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
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;
Conference_Titel :
Decision and Control, 2007 46th IEEE Conference on
Conference_Location :
New Orleans, LA
Print_ISBN :
978-1-4244-1497-0
Electronic_ISBN :
0191-2216
DOI :
10.1109/CDC.2007.4434378
