Exact hybrid filters in discrete time

被引：44
作者：
Elliott, RJ
Dufour, F
Sworder, DD
机构：
[1] CNRS,ESE,SIGNAUX & SYST LAB,F-91192 GIF SUR YVETTE,FRANCE
[2] UNIV CALIF SAN DIEGO,DEPT ELECT & COMP ENGN,LA JOLLA,CA 92093
来源：
IEEE TRANSACTIONS ON AUTOMATIC CONTROL | 1996年 / 41卷 / 12期
关键词：
D O I：
10.1109/9.545745
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
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 it is surprising that finite-dimensional filters are obtained. However, the number of statistics increases in time, ii numerical comparison of this filter with the interactive multiple model algorithm introduced by Blom and Bar-Shalom [2] is given.
引用
收藏
页码：1807 / 1810
页数：4
相关论文
共 8 条
[1]   ON STATE ESTIMATION IN SWITCHING ENVIRONMENTS [J].
ACKERSON, GA ;
FU, KS .
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1970, AC15 (01) :10-+
[2]   THE INTERACTING MULTIPLE MODEL ALGORITHM FOR SYSTEMS WITH MARKOVIAN SWITCHING COEFFICIENTS [J].
BLOM, HAP ;
BARSHALOM, Y .
IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1988, 33 (08) :780-783
[3]  
Cloutier J. R., 1989, IEEE Control Systems Magazine, V9, P27, DOI 10.1109/37.41440
[4]  
Elliott R. J., 1995, HIDDEN MARKOV MODEL
[5]   A GENERAL RECURSIVE DISCRETE-TIME FILTER [J].
ELLIOTT, RJ .
JOURNAL OF APPLIED PROBABILITY, 1993, 30 (03) :575-588
[6]  
Mariton M., 1990, Jump Linear Systems in Automatic Control
[7]   RECONFIGURABLE FLIGHT CONTROL VIA MULTIPLE MODEL ADAPTIVE-CONTROL METHODS [J].
MAYBECK, PS ;
STEVENS, RD .
IEEE TRANSACTIONS ON AEROSPACE AND ELECTRONIC SYSTEMS, 1991, 27 (03) :470-480
[8]   GAIN ADAPTIVE TRACKING [J].
SWORDER, DD ;
VOJAK, R ;
HUTCHINS, RG .
JOURNAL OF GUIDANCE CONTROL AND DYNAMICS, 1993, 16 (05) :865-873
1