A novel truncated approximation based algorithm for state estimation of discrete-time Markov jump linear systems

作者：Liu Wei^*; Zhang Huaguang; Wang Zhanshan

来源：Signal Processing, 2011, 91(4): 702-712.

DOI：10.1016/j.sigpro.2010.07.017

• State estimation
• Discrete-time
• Markov jump
• Linear systems
• Truncated approximation

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 [1] are all based on a truncated approximation strategy. However, compared with the algorithm of [1], the proposed algorithm requires much less approximations. Computer simulations are carried out to evaluate the performance of the proposed algorithm.

• 出版日期2011-4
• 单位东北大学