Approximate Kalman-Bucy Filter for Continuous-Time Semi-Markov Jump Linear Systems

DOI10.1109/TAC.2015.2495578zbMATH Open1359.93500arXiv1409.2631MaRDI QIDQ2980441FDOQ2980441

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Publication date: 3 May 2017

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Abstract: The aim of this paper is to propose a new numerical approximation of the Kalman-Bucy filter for semi-Markov jump linear systems. This approximation is based on the selection of typical trajectories of the driving semi-Markov chain of the process by using an optimal quantization technique. The main advantage of this approach is that it makes pre-computations possible. We derive a Lipschitz property for the solution of the Riccati equation and a general result on the convergence of perturbed solutions of semi-Markov switching Riccati equations when the perturbation comes from the driving semi-Markov chain. Based on these results, we prove the convergence of our approximation scheme in a general infinite countable state space framework and derive an error bound in terms of the quantization error and time discretization step. We employ the proposed filter in a magnetic levitation example with markovian failures and compare its performance with both the Kalman-Bucy filter and the Markovian linear minimum mean squares estimator.

Full work available at URL: https://arxiv.org/abs/1409.2631

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Markov renewal processes, semi-Markov processes (60K15)

Cited In (9)

• Event-triggered fault detection for nonlinear semi-Markov jump systems based on double asynchronous filtering approach
• Finite-horizon filtering for a class of nonlinear time-delayed systems with an energy harvesting sensor
• Non-fragile reliable control of nonlinear positive semi-Markovian jump systems with nonlinear actuator faults
• Asynchronous control strategy for semi-Markov switched system and its application
• Extended dissipative analysis for T-S fuzzy semi-Markov jump systems with sampled-data input and actuator fault
• Advances on modeling and control of semi-Markovian switching systems: a survey
• Kalman filtering for continuous-time uncertain systems with Markovian jumping parameters
• Asynchronous \(\mathcal{H}_\infty\) control of semi-Markov jump linear systems
• The Kalman-Bucy filter for linear stochastic dynamic systems with discontinuous trajectories

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