DocumentCode
1482633
Title
Exact hybrid filters in discrete time
Author
Elliott, Robert J. ; Dufour, François ; Sworder, Dave D.
Author_Institution
Dept. of Math. Sci., Alberta Univ., Edmonton, Alta., Canada
Volume
41
Issue
12
fYear
1996
fDate
12/1/1996 12:00:00 AM
Firstpage
1807
Lastpage
1810
Abstract
Using the reference probability method and the change of measure in discrete time, the state estimator problem is considered for linear systems observed in Gaussian noise when the coefficients are functions of a noisily observed, finite-state Markov chain. The methods are new, and finite-dimensional filters are obtained. However, the number of statistics increases in time. A numerical comparison of this filter with the interactive multiple model algorithm introduced by Blom and Bar-Shalom (1988) is given
Keywords
Gaussian noise; discrete time filters; filtering theory; hidden Markov models; linear systems; probability; state estimation; state-space methods; Gaussian noise; discrete time systems; finite-dimensional filters; finite-state Markov chain; hidden Markov model; linear systems; probability; state estimator; state space; Ear; Filters; Filtration; Gaussian noise; Labeling; Noise measurement; State estimation; State-space methods; Statistics; Time measurement;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/9.545745
Filename
545745
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