Clustered Information Filter for Markov Jump Linear Systems

Abstract : Minimum mean square error estimation for linear systems with Markov jump parameters is addressed. The jump variable is assumed to be observed, however only cluster information is taken into account in the filter design, allowing one to seek for the best implementable estimator via the cardinality and choice of the clusters. With this new approach we introduce a set of filters that can be compared in terms of performance according to the refines of clusters of the Markov chain. Moreover, it includes as particular cases the well known Kalman filter with as many clusters as Markov states, as well as the linear Markovian estimator with only one cluster. The Riccati-like formulas for pre-computation of gains are given, and we explore the trade-off between complexity and performance via numerical examples.
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Communication dans un congrès
CT 2017 - SIAM Conference on Control and Its Applications, Jul 2017, Pittsburgh, United States. 2017
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https://hal.archives-ouvertes.fr/hal-01563236
Contributeur : Benoîte De Saporta <>
Soumis le : lundi 17 juillet 2017 - 14:20:20
Dernière modification le : lundi 16 octobre 2017 - 11:24:40

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  • HAL Id : hal-01563236, version 1

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Eduardo Costa, Benoîte De Saporta. Clustered Information Filter for Markov Jump Linear Systems. CT 2017 - SIAM Conference on Control and Its Applications, Jul 2017, Pittsburgh, United States. 2017. 〈hal-01563236〉

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