Journal article
Iterative algorithms for state estimation of jump Markov linear systems
- Abstract:
-
Jump Markov linear systems (JMLS) are linear systems whose parameters evolve with time according to a finite state Markov chain. Given a set of observations, our aim is to estimate the states of the finite state Markov chain and the continuous (in space) states of the linear system. In this paper, we present original deterministic and stochastic iterative algorithms for optimal state estimation of JMLSs. The first stochastic algorithm yields minimum mean square error (MMSE) estimates of the f...
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- Publication status:
- Published
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- Publisher copy:
- 10.1109/78.923304
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Bibliographic Details
- Journal:
- IEEE TRANSACTIONS ON SIGNAL PROCESSING
- Volume:
- 49
- Issue:
- 6
- Pages:
- 1216-1227
- Publication date:
- 2001-06-01
- DOI:
- ISSN:
-
1053-587X
- Source identifiers:
-
190616
Item Description
- Keywords:
- Pubs id:
-
pubs:190616
- UUID:
-
uuid:46a3de49-dac0-4180-9d67-ded9bc52d053
- Local pid:
- pubs:190616
- Deposit date:
- 2012-12-19
Terms of use
- Copyright date:
- 2001
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