Abstract
The multiple model (MM) framework provides an elegant solution to adaptive filtering problems. An important issue in the MM framework is how the estimation is performed. In this paper, a brief overview is given of the mainstream methods for MM estimation and a new method is proposed. Contrary to existing methods that mostly adopt a hybrid model structure, the newly proposed method uses a more general MM framework that allows for weighted combinations of the local models. The main advantage of this framework is that it has better model interpolation properties. These improved properties allow for smaller model sets, which are very useful in, for example, fault detection and identification (FDI) of partial faults. The improved interpolation properties are demonstrated by means of two simulation examples, one in which an FDI problem is addressed, and one in which a target tracking problem is addressed. Monte Carlo simulation results of these two examples are given. In these simulations, the wellโknown interacting IMM filter is compared with two estimation algorithms based on the proposed model structure. Copyright ยฉ 2008 John Wiley & Sons, Ltd.