Robust Kalman filtering for discrete-time Markovian jump systems with parameter uncertainty (Q1877195): Difference between revisions
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Revision as of 05:01, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust Kalman filtering for discrete-time Markovian jump systems with parameter uncertainty |
scientific article |
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Robust Kalman filtering for discrete-time Markovian jump systems with parameter uncertainty (English)
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16 August 2004
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The objective of the paper is to study the state estimation for linear discrete-time systems with Markovian jump parameters. A Kalman Markovian jump filter is given and it is shown that the filtering problem can be solved if two sets of coupled Riccati-like equations have symmetric positive definite solutions. Moreover, the stochastic quadratic estimator guarantees both stochastic stability and estimation error boundedness.
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Kalman filtering
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stochastic stability
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Markovian jump parameter
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linear discrete-time system
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uncertainty
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state estimation
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coupled Riccati equation
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