A New Approach to Linear Estimation for Markov Jump Linear Systems
This paper investigates the linear minimum mean square error estimation for the Markov jump linear system (MJLS). To derive the existence condition of such estimator, we first transform the MJLS into a linear system with multiplicative noises; and then the system is converted into an averaged one just with addition noises by using the fictitious noise technique. The existence condition is established based on the novel transformation, and different kinds of estimators including predictor, filter and smoother are proposed via the projection formula. Compared with the augmented approach, the computational cost is reduced. And the estimators have the same dimensions as the original system.
Linear Estimation Existence Condition Markov Jump Linear Systems Fictitious Noises
Chunyan Han Wei Wang Huanshui Zhang
School of Electrical Engineering, University of Jinan, Jinan, 250022 School of Control Science and Engineering, Shandong University, Jinan, 250061
国际会议
The 24th Chinese Control and Decision Conference (第24届中国控制与决策学术年会 2012 CCDC)
太原
英文
1012-1017
2012-05-23（万方平台首次上网日期，不代表论文的发表时间）