Title :
Robust Estimation for Discrete-Time Markovian Jump Linear Systems
Author :
Terra, M.H. ; Ishihara, Joao Yoshiyuki ; Jesus, Goncalo ; Cerri, Joao P.
Author_Institution :
Dept. of Electr. Eng., Univ. of Sao Paulo at Sao Carlos, Sao Carlos, Brazil
Abstract :
This technical note deals with recursive robust estimation of Markov jump linear systems subject to unobserved chain state. It is developed an augmented system modeled via norm bounded uncertainties. Upper and lower bounds of an uncertain quadratic cost function are computed in order to define the variances of the augmented system. Numerical examples are provided to show the effectiveness of the proposed estimators.
Keywords :
linear systems; recursive estimation; stochastic systems; uncertain systems; DMJLS; augmented system; discrete-time Markovian jump linear systems; norm bounded uncertainties; recursive robust estimation; uncertain quadratic cost function; unobserved chain state; Equations; Mathematical model; Optimization; Robustness; Standards; Uncertainty; Upper bound; Discrete-time; Markovian systems; robust estimation;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.2013.2246475
