Optimal Estimate and Intercepting Algorithm for State Estimation of Discrete-Time Markov Jump Linear Systems

摘要：

In this paper, the state estimation problem for discrete-time Markov jump linear systems is considered. For this, two algorithms are presented. The first algorithm is an optimal algorithm for state estimate in the sense of minimum mean-square error estimate.The second algorithm is a suboptimal algorithm, called intercepting algorithm, which is based on the approximation for the proposed optimal algorithm. The intercepting algorithm is finite-dimensionally computable, and does not require ever-increasing computation and storage load with the length of the noise observation sequence. A numerical example is given to demonstrate the performance of the intercepting algorithm.

关键词： State Estimation Intercepting Algorithm Markov Jump Linear Systems

作者: Wei Liu

作者单位: School of Information Science and Engineering, Northeastern University, Shenyang, 110004

会议类型: 国际会议

会议名称: The 22nd China Control and Decision Conference(2010年中国控制与决策会议)

会议地点: 徐州

会议语种:英文

页码: 3295-3301

在线出版日期: 2010-05-26（万方平台首次上网日期，不代表论文的发表时间）