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A maximum likelihood estimator for switching linear systems with unknown inputs

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

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