Exact hybrid filters in discrete time

Exact hybrid filters in discrete time

Using the reference probability method and the change of measure in discrete time, the state estimator problem is considered for linear systems observed in Gaussian noise when the coefficients are functions of a noisily observed, finite-state Markov chain. The methods are new, and finite-dimensional...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:IEEE transactions on automatic control 1996-12, Vol.41 (12), p.1807-1810
Hauptverfasser: Elliott, R.J., Dufour, F., Sworder, D.D.
Format: Artikel
Sprache:eng
Schlagworte:
Applied sciences
Computer science
control theory
systems
Control theory. Systems
Ear
Exact sciences and technology
Filters
Filtration
Gaussian noise
Labeling
Modelling and identification
Noise measurement
State estimation
State-space methods
Statistics
Time measurement
Online-Zugang:Volltext bestellen
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:Using the reference probability method and the change of measure in discrete time, the state estimator problem is considered for linear systems observed in Gaussian noise when the coefficients are functions of a noisily observed, finite-state Markov chain. The methods are new, and finite-dimensional filters are obtained. However, the number of statistics increases in time. A numerical comparison of this filter with the interactive multiple model algorithm introduced by Blom and Bar-Shalom (1988) is given.
ISSN:0018-9286
1558-2523
DOI:10.1109/9.545745