- 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...
Expand abstract - Publication status:
- Published
- Publisher copy:
- 10.1109/78.923304
-
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- Journal:
- IEEE TRANSACTIONS ON SIGNAL PROCESSING
- Volume:
- 49
- Issue:
- 6
- Pages:
- 1216-1227
- Publication date:
- 2001-06-05
- DOI:
- ISSN:
-
1053-587X
- URN:
-
uuid:46a3de49-dac0-4180-9d67-ded9bc52d053
- Source identifiers:
-
190616
- Local pid:
- pubs:190616
- Copyright date:
- 2001
Journal article
Iterative algorithms for state estimation of jump Markov linear systems
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