Title :
Batch estimation of a jump in the state of a stochastic linear system
Author :
Murphy, Daniel J.
Author_Institution :
Southeastern Massachusetts University, North Dartmouth, MA, USA
fDate :
4/1/1977 12:00:00 AM
Abstract :
A batch algorithm which estimates the state as well as a jump in the state which occurs at a known time is presented. The algorithm is modified such that the state estimate and the jump estimate are treated in a serial manner. A comparison with the estimator given in [1] and [2] is included.
Keywords :
Jump processes; Linear systems, stochastic discrete-time; State estimation; Covariance matrix; Equations; Linear systems; Matrices; Noise measurement; State estimation; Stochastic systems; Testing; Time measurement; Weight measurement;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1977.1101453
