The interacting multiple model algorithm for systems with Markovian switching coefficients

DOI10.1109/9.1299zbMath0649.93065OpenAlexW2117397690MaRDI QIDQ3795578

Henk A. P. Blom, Yaakov Bar-Shalom

Publication date: 1988

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

Full work available at URL: https://doi.org/10.1109/9.1299

zbMATH Keywords

filteringinteracting multiple model (IMM) algorithmapproximate Bayesian filteringhypotheses merginglinear systems with Markovian switching coefficients

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Linear systems in control theory (93C05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items

Fault Detection for Buildings Using Uncertain Parameters and Interacting Multiple-Model Method ⋮ Stochastic versus mean square stability in continuous time linear infinite Markov jump parameter systems ⋮ H ∞ filtering for Markovian jump linear systems ⋮ Observer design for discrete and continuous non-linear stochastic systems ⋮ Robust ?? filtering for uncertain Markovian jump linear systems ⋮ Approximation and decomposition of singularly perturbed stochastic hybrid systems ⋮ Interacting multiple model and sensor selection algorithms for manoeuvring target tracking in wireless sensor networks with multiplicative noise ⋮ Constrained state estimation for stochastic jump systems: moving horizon approach ⋮ Simultaneous mode, input and state estimation for switched linear stochastic systems ⋮ RECURSIVE ESTIMATION IN SWITCHING AUTOREGRESSIONS WITH A MARKOV REGIME ⋮ Efficient filtering based on Kullback-Leibler divergence for wireless networked control systems with Markovian packet losses ⋮ Adaptive risk-sensitive filter for Markovian jump linear systems ⋮ Group target tracking via jointly optimizing group partition and association ⋮ Sequential fusion estimation for Markov jump systems with heavy-tailed noises ⋮ Estimation of dual‐mode nonlinear stochastic systems with unknown parameters ⋮ Joint estimation of position and attitude for intelligent vehicles by fusing delayed visual measurements ⋮ Diagnosis of Hybrid Dynamic Systems Based on the Behavior Automaton Abstraction ⋮ An IMM tracking algorithm with input estimation ⋮ Probabilistic Reconstruction of Truncated Particle Trajectories on a Closed Surface ⋮ Separated Maneuvering Target Tracking Algorithm Along with Three <scp>C</scp>artesian Coordinates for Three‐Dimension Radar ⋮ Fault tolerance in networked control systems under intermittent observations ⋮ Risk‐sensitive filtering for nonlinear Markov jump systems on the basis of particle approximation ⋮ Markov chains with weak and strong interactions: Structural properties ⋮ Tracking of multiple maneuvering targets in clutter using IMM/JPDA filtering and fixed-lag smoothing ⋮ A distributed multirate IMM algorithm for multiplatform tracking ⋮ Distributed multiple model estimation for jump Markov linear systems with missing measurements ⋮ Analysis of single Gaussian approximation of Gaussian mixtures in Bayesian filtering applied to mixed multiple-model estimation ⋮ Robust mode-independent filtering for discrete-time Markov jump linear systems with multiplicative noises ⋮ Mean Square Stabilizability of Continuous-Time Linear Systems with Partial Information on the Markovian Jumping Parameters ⋮ Nonlinear filtering of an interactive multiple model with small observation noise: numerical methods^∗ ⋮ A numerical filtering method for linear state‐space models with Markov switching ⋮ Event-based efficient filtering for wireless network control systems with User Datagram Protocol ⋮ Uncertainty Propagation for General Stochastic Hybrid Systems on Compact Lie Groups ⋮ Hybrid estimation algorithms ⋮ A new smoothing algorithm for jump Markov linear systems ⋮ TOA-based cooperative localization for mobile stations with NLOS mitigation ⋮ Recursive estimation for Markov jump linear systems with unknown transition probabilities: a compensation approach ⋮ Time-varying fault diagnosis for asynchronous multisensor systems based on augmented IMM and strong tracking filtering ⋮ RLS fixed-lag smoother using covariance information in linear continuous stochastic systems ⋮ A novel interacting multiple model algorithm ⋮ Informative conditions for a data set in a MIMO closed‐loop system with a switching controller ⋮ Dual adaptive control of chip refiner motor load ⋮ Exact Bayesian filter and joint IMM coupled PDA tracking of maneuvering targets from possibly missing and false measurements ⋮ An interacting multiple model algorithm with a switching Markov chain ⋮ Hybrid estimation algorithms. II ⋮ Modelling and optimal control for a fed-batch fermentation process ⋮ An image-based filter for discrete-time Markovian jump linear systems ⋮ Maximum likelihood state estimation for Markov jump systems with uncertain mode-dependent delays ⋮ State estimation of stochastic systems with switching measurements: A polynomial approach ⋮ Robust \(H_{\infty}\) filtering for discrete-time Markov jump linear system with missing measurements ⋮ Efficient estimation of hybrid systems with applications to tracking ⋮ New procedure for change detection operating on Rényi entropy with application in seismic signals processing ⋮ Experimental analysis of a game-theoretic formulation of target tracking ⋮ The salted Kalman filter: Kalman filtering on hybrid dynamical systems ⋮ An online sequential algorithm for the estimation of transition probabilities for jump Markov linear systems ⋮ Scaled consensus of multi-agent systems with switching topologies and communication noises ⋮ Multi-target PHD tracking and classification using imprecise likelihoods ⋮ A method for the estimation of infrequent abrupt changes in nonlinear systems ⋮ Breaking a chaotic direct sequence spread spectrum communication system using interacting multiple model-unscented Kalman filter ⋮ State estimation for discrete-time Markov jump linear systems with time-correlated and mode-dependent measurement noise ⋮ Kalman filter-based multialternative method for fault detection and estimation ⋮ Adaptive control in the presence of markovian parameter jumps ⋮ Spectral Bayesian estimation for general stochastic hybrid systems ⋮ Robust state estimation for jump Markov linear systems with missing measurements ⋮ Bayesian estimation for jump Markov linear systems with non-homogeneous transition probabilities ⋮ A maximum-likelihood Kalman filter for switching discrete-time linear systems ⋮ Smoothed state estimates under abrupt changes using sum-of-norms regularization ⋮ A switched IMM-extended Viterbi estimator-based algorithm for maneuvering target tracking ⋮ Distributed multiple model filtering for Markov jump systems with communication delays ⋮ A tracker-aware detector threshold optimization formulation for tracking maneuvering targets in clutter ⋮ Exact Bayesian prediction in a class of Markov-switching models ⋮ Modelling and optimization for a switched system in microbial fed-batch culture ⋮ Globally optimal distributed Kalman filtering fusion ⋮ State estimation for networked systems with Markovian communication constraints and multiple packet dropouts ⋮ Robust distributed Kalman filter for wireless sensor networks with uncertain communication channels ⋮ Multiple maneuvering target tracking by improved particle filter based on multiscan JPDA ⋮ Combination of interacting multiple models with the particle filter for three-dimensional target tracking in underwater wireless sensor networks ⋮ Adaptive IIR/FIR fusion filter and its application to the INS/GPS integrated system ⋮ H2-Filtering for discrete-time hidden Markov jump systems ⋮ On the filtering problem for continuous-time Markov jump linear systems with no observation of the Markov chain ⋮ State estimation for nonlinear discrete-time systems with Markov jumps and nonhomogeneous transition probabilities ⋮ Novel interacting multiple model filter for uncertain target tracking systems based on weighted Kullback-Leibler divergence ⋮ An IMM filter defined in the linear-circular domain, application to maneuver detection with heading only ⋮ A filtering algorithm for maneuvering target tracking based on smoothing spline fitting ⋮ Using interacting multiple model particle filter to track airborne targets hidden in blind doppler ⋮ Optimal state estimation for discrete-time Markov jump systems with missing observations ⋮ An adaptive risk-sensitive filtering method for Markov jump linear systems with uncertain parameters ⋮ Maneuvering Target Tracking by using Particle Filter Method with Model Switching Structure ⋮ Variable-mass particle filter for road-constrained vehicle tracking ⋮ Modal estimation in hybrid systems ⋮ State estimation for discrete-time Markov jump linear systems with time-correlated measurement noise ⋮ Bearings only multi-sensor maneuvering target tracking ⋮ Generalized pseudo-Bayes estimation and detection for abruptly changing systems ⋮ Risk-sensitive filtering for jump Markov linear systems ⋮ State estimation for jump Markov nonlinear systems of unknown measurement data covariance ⋮ Efficient Bayesian analysis of multiple changepoint models with dependence across segments ⋮ Neural network-based state fusion and adaptive tracking for maneuvering targets ⋮ A novel truncated approximation based algorithm for state estimation of discrete-time Markov jump linear systems ⋮ Segmentation of ARX-models using sum-of-norms regularization ⋮ A convex optimization approach to filtering in jump linear systems with state dependent transitions ⋮ Linear minimum mean square filter for discrete-time linear systems with Markov jumps and multiplicative noises ⋮ Decentralized and distributed active fault diagnosis: multiple model estimation algorithms ⋮ OPTIMAL FILTERING IN DISCRETE-TIME SYSTEMS WITH TIME DELAYS AND MARKOVIAN JUMP PARAMETERS ⋮ On LQG control design for network systems with/without acknowledgments using a particle filtering technology ⋮ Stochastic output delay identification of discrete-time Gaussian systems ⋮ Unscented fuzzy-controlled current statistic model and adaptive filtering for tracking maneuvering targets ⋮ Moving horizon estimation for Markov jump systems ⋮ IMM estimator based on fuzzy weighted input estimation for tracking a maneuvering target ⋮ State smoothing in Markov jump systems with lagged mode observation ⋮ Discussion on: ``On the continuous time-varying JLQ problem ⋮ Generalized pseudo-Bayesian estimator for networked control systems over UDP-like channels ⋮ A gate size estimation algorithm for data association filters ⋮ An optimal two-stage algorithm for highly maneuvering targets tracking ⋮ An Interacting Multiple Model Approach for State Estimation with Non-Gaussian Noise Using a Variational Bayesian Method ⋮ Fault detection model-based controller for process systems ⋮ Offline state estimation for hybrid systems via nonsmooth variable projection ⋮ Mode separability-based state estimation for uncertain constrained dynamic systems ⋮ Structural properties of Markov chains with weak and strong interactions ⋮ Mode-independentH_∞filtering for discrete-time Markov jump linear system with parametric uncertainties and quantized measurements ⋮ Design of RLS Wiener fixed-lag smoother using covariance information in linear discrete stochastic systems ⋮ Distributed adaptive estimation with probabilistic data association ⋮ Optimal filtering of discrete-time hybrid systems ⋮ A stabilizing controller for jump linear Gaussian systems with noisy state observations ⋮ Image fusion for tracking manoeuvring targets ⋮ Exponential H _∞ filtering for singular systems with Markovian jump parameters ⋮ A Kullback-Leibler-based IMM information filter for the jump Markov system with unknown noise ⋮ Lyapunov coupled equations for continuous-time infinite Markov jump linear systems ⋮ Model-set adaptation using a fuzzy Kalman filter ⋮ Interval models for target tracking algorithms. ⋮ Robust mode-independent filtering for discrete-time Markov jump linear systems with multiplicative noises ⋮ State estimation for networked systems: an extended IMM algorithm ⋮ Mode set focused hybrid estimation ⋮ Robust linear filtering for discrete-time hybrid Markov linear systems

This page was built for publication: The interacting multiple model algorithm for systems with Markovian switching coefficients