Linear minimum mean square filter for discrete-time linear systems with Markov jumps and multiplicative noises

✍ Scribed by Oswaldo L.V. Costa; Guilherme R.A.M. Benites

• Publisher: Elsevier Science
• Year: 2011
• Tongue: English
• Weight: 424 KB
• Volume: 47
• Category: Article
• ISSN: 0005-1098
• DOI: 10.1016/j.automatica.2011.01.015

✦ Synopsis

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 type filter conveniently implementable in a recurrence form. The stationary case is also studied and a proof for the convergence of the error covariance matrix of the LMMSE to a stationary value under the assumption of mean square stability of the system and ergodicity of the associated Markov chain is obtained. It is shown that there exists a unique positive semi-definite solution for the stationary Riccatilike filter equation and, moreover, this solution is the limit of the error covariance matrix of the LMMSE. The advantage of this scheme is that it is very easy to implement and all calculations can be performed offline.