A maximum likelihood estimator for switching linear systems with unknown inputs

Luc Meyer (1) , Dalil Ichalal (2) , Vincent Vigneron (2)

1 DTIS, ONERA, Université Paris Saclay (COmUE) [Palaiseau]
2 IBISC - Informatique, BioInformatique, Systèmes Complexes

This paper investigates the construction of an estimator for switching linear systems with unknown inputs (UI) and Gaussian noises, in the case of unknown switching sequence. First, a maximum-likelihood switching sequence estimator is constructed. Then, both state and UI estimators are proposed. An example illustrates the theoretical contributions.

Domaines: Automatique; Mathématique discrète [cs.DM]

Luc Meyer, Dalil Ichalal, Vincent Vigneron. A maximum likelihood estimator for switching linear systems with unknown inputs. Automatica, 2019, 108, pp.108490. ⟨10.1016/j.automatica.2019.07.003⟩. ⟨hal-02184492⟩