Information Filtering and Array Algorithms for Discrete-Time Markovian Jump Linear Systems

• Published in: IEEE transactions on automatic control Vol. 54; no. 1; pp. 158 - 162
• Main Authors: Terra, M.H., Ishihara, J.Y., Jesus, G.
• Format: Journal Article
• Language: English
• Published: New York, NY IEEE 01.01.2009; Institute of Electrical and Electronics Engineers; The Institute of Electrical and Electronics Engineers, Inc. (IEEE)
• Subjects: Algorithms; Applied sciences; Array algorithm; Arrays; Automatic control; Computer science; control theory; systems; Control systems; Control theory. Systems; Covariance matrix; discrete-time; Errors; Estimators; Exact sciences and technology; Filtering; Filtering algorithms; Filtration; information filter; Information filtering; Information filters; Linear systems; Markovian jump; Mean square error methods; Modelling and identification; Nonlinear filters; Riccati equations; State estimation; Markov process; Markovian system; information filter; Linear time; linear systems; Mean square error; Technical information; Array algorithm; Filter; Observer; Discrete time; Jump process; discrete-time; System identification; Jumping; Markovian jump
• ISSN: 0018-9286; 1558-2523
• DOI: 10.1109/TAC.2008.2007181

This technical note develops information filter and array algorithms for a linear minimum mean square error estimator of discrete-time Markovian jump linear systems. A numerical example for a two-mode Markovian jump linear system, to show the advantage of using array algorithms to filter this class of systems, is provided.