Simultaneous mode, input and state estimation for switched linear stochastic systems
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Abstract: In this paper, we propose a filtering algorithm for simultaneously estimating the mode, input and state of hidden mode switched linear stochastic systems with unknown inputs. Using a multiple-model approach with a bank of linear input and state filters for each mode, our algorithm relies on the ability to find the most probable model as a mode estimate, which we show is possible with input and state filters by identifying a key property, that a particular residual signal we call generalized innovation is a Gaussian white noise. We also provide an asymptotic analysis for the proposed algorithm and provide sufficient conditions for asymptotically achieving convergence to the true model (consistency), or to the 'closest' model according to an information-theoretic measure (convergence). A simulation example of intention-aware vehicles at an intersection is given to demonstrate the effectiveness of our approach.
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Cites work
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Cited in
(5)- scientific article; zbMATH DE number 6611268 (Why is no real title available?)
- Simultaneous system identification and decision-directed detection and estimation of jump inputs to linear systems
- Active Mode Estimation via Clustering Algorithm for Switched Linear Systems
- Estimation of dual‐mode nonlinear stochastic systems with unknown parameters
- Efficient secure state estimation against sparse integrity attack for regular linear system
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