In this paper we obtain the linear minimum mean square estimator (LMMSE) for discrete-time linear systems subject to state and measurement multiplicative noises and Markov jumps on the parameters. It is assumed that the Markov chain is not available. By using geometric arguments we obtain a Kalman t
FIR Filtering for Discrete-Time Markov Jump Linear Systems
β Scribed by Ji-Wei Wen; Fei Liu
- Publisher
- Springer
- Year
- 2011
- Tongue
- English
- Weight
- 399 KB
- Volume
- 30
- Category
- Article
- ISSN
- 0278-081X
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstrart-A discrete-time filtering problem for hybrid systems is studied in which the state process is observed in white noise and the random jump process (called the mode or the regime) is observed by a point process. The optimal state and mode estimator, when only the mode measurements arc us
This paper presents a new detectability concept for discrete-time Markov jump linear systems with ΓΏnite Markov state, which generalizes the MS-detectability concept found in the literature. The new sense of detectability can similarly assure that the solution of the coupled algebraic Riccati equatio
In this paper we consider the full information discrete-time H -control problem Ο± for the class of linear systems with Markovian jumping parameters. The state-space of the Markov chain is assumed to take values in a countably infinite set. Full information here means that the controller has access t