Title :
Information Filtering and Array Algorithms for Discrete-Time Markovian Jump Linear Systems
Author :
Terra, Marco Henrique ; Ishihara, João Yoshiyuki ; Jesus, Gildson
Author_Institution :
Dept. of Electr. Eng., Univ. of Sao Paulo at Sao Carlos, Sao Carlos
Abstract :
This technical note develops information filter and array algorithms for a linear minimum mean square error estimator of discrete-time Markovian jump linear systems. A numerical example for a two-mode Markovian jump linear system, to show the advantage of using array algorithms to filter this class of systems, is provided.
Keywords :
Markov processes; discrete time systems; information filtering; least mean squares methods; linear systems; stochastic systems; array algorithm; discrete-time Markovian jump linear system; information filtering; linear minimum mean square error estimator; Control systems; Covariance matrix; Filtering algorithms; Information filtering; Information filters; Linear systems; Mean square error methods; Nonlinear filters; Riccati equations; State estimation; Array algorithm; Markovian jump; discrete-time; information filter; linear systems;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.2008.2007181
