State Estimation of Discrete-Time Markov Jump Linear Systems Based on Linear Minimum Mean-Square Error Estimate

摘要：

This paper considers state estimation problem for discrete-time Markov jump linear systems. For this, two algorithm are presented. The .rst algorithm is an optimal algorithm of state estimation in the sense of linear minimum mean-square error estimate, which requires an ever-increasing computation and storage load with the length of the noise observation sequence. The second algorithm is a suboptimal algorithm which is proposed to reduce the computation and storage load of the optimal algorithm. A numerical example is presented to evaluate the performance of the proposed suboptimal algorithm.

关键词： State Estimation Discrete-Time Markov jump Linear Minimum Mean-Square Error Estimate

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: 3289-3294

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）