Linear minimum mean square error estimation for discrete-time Markovian jump linear systems

The linear minimum mean square error estimator (LMMSE) for discrete-time linear systems subject to abrupt changes in the parameters modeled by a Markov chain /spl theta/(k)/spl epsiv/{1...,N} is considered. The filter equations are derived from geometric arguments in a recursive form, resulting in a...

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Bibliographic Details
Published in:	IEEE transactions on automatic control Vol. 39; no. 8; pp. 1685 - 1689
Main Author:	Costa, O.L.V.
Format:	Journal Article
Language:	English
Published:	New York, NY IEEE 01.08.1994 Institute of Electrical and Electronics Engineers
Subjects:	Applied sciences Brazil Council Computer science; control theory; systems Control theory. Systems Equations Estimation error Exact sciences and technology Linear systems Mean square error methods Modelling and identification Noise reduction Nonlinear filters State estimation Uncertainty Vectors Markov chain Linear system Least squares method Jump process Discrete system Linear estimation State estimation Recursive filtering
ISSN:	0018-9286
Online Access:	Get full text
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