• DocumentCode
    3480514
  • Title

    Optimal linear filtering for discrete-time Markovian jump linear systems

  • Author

    Costa, O.L.V.

  • Author_Institution
    Dept. de Engenharia Eletronica, Sao Paulo, Brazil
  • fYear
    1991
  • fDate
    11-13 Dec 1991
  • Firstpage
    2761
  • Abstract
    Optimal linear state estimation for discrete-time linear systems subject to Markovian abrupt changes in the parameters is considered. It is not assumed that random sequences are Gaussian. The filter equations are derived in a recursive form, resulting in an online algorithm suitable for computer implementation
  • Keywords
    Markov processes; discrete time systems; filtering and prediction theory; linear systems; state estimation; discrete-time Markovian jump linear systems; optimal linear filtering; random sequences; state estimation; Equations; Gaussian distribution; Gaussian noise; Linear systems; Maximum likelihood detection; Nonlinear filters; Random sequences; Random variables; State estimation; State-space methods;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control, 1991., Proceedings of the 30th IEEE Conference on
  • Conference_Location
    Brighton
  • Print_ISBN
    0-7803-0450-0
  • Type

    conf

  • DOI
    10.1109/CDC.1991.261860
  • Filename
    261860
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3480514