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A novel truncated approximation based algorithm for state estimation of discrete-time Markov jump linear systems
- Source :
-
Signal Processing . Apr2011, Vol. 91 Issue 4, p702-712. 11p. - Publication Year :
- 2011
-
Abstract
- Abstract: In this paper, state estimation problem for discrete-time Markov jump linear systems is considered. First, three equalities are proposed. Next, they are applied to the state estimation problem of considered systems so that a novel suboptimal algorithm in the sense of minimum mean-square error estimate is obtained where the computation and storage load of the suboptimal algorithm is not ever-increasing with the length of the noise observation sequence. The proposed algorithm and the suboptimal adaptive algorithm proposed in are all based on a truncated approximation strategy. However, compared with the algorithm of , the proposed algorithm requires much less approximations. Computer simulations are carried out to evaluate the performance of the proposed algorithm. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 01651684
- Volume :
- 91
- Issue :
- 4
- Database :
- Academic Search Index
- Journal :
- Signal Processing
- Publication Type :
- Academic Journal
- Accession number :
- 57162365
- Full Text :
- https://doi.org/10.1016/j.sigpro.2010.07.017