Title :
A decoupling Kalman filtering technique for optimal estimation of Markov chains
Author :
Chen, Guanrong ; Yauqi, Yu ; de Figueiredo, Rui J.P.
Author_Institution :
Dept. of Electr. Eng., Houston Univ., TX, USA
Abstract :
An efficient decoupling Kalman filtering technique developed by K. Chui and G. Chen (1987) is applied to certain Markov chains with finite-dimensional stationary state-transition matrices. For optimal estimation of a Markov chain with an n×n stationary state-transition matrix, the resultant computational algorithm consists of only n-1 simple one-dimensional recursive formulas
Keywords :
Kalman filters; Markov processes; State estimation; filtering and prediction theory; matrix algebra; state estimation; Markov chains; decoupling Kalman filtering; state estimation; state space; state-transition matrices; Contracts; Filtering; Gaussian processes; Kalman filters; Mathematics; Recursive estimation; State estimation; State-space methods; White noise; Yttrium;
Conference_Titel :
Decision and Control, 1990., Proceedings of the 29th IEEE Conference on
Conference_Location :
Honolulu, HI
DOI :
10.1109/CDC.1990.203312
