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| Title | l1 state estimation of jump Markov linear systems |
| Publication Type | Conference Paper |
| Year of Publication | 1998 |
| Authors | Carlemalm, C., A. Logothetis, and V. Krishnamurthy |
| Conference Name | Decision and Control, 1998. Proceedings of the 37th IEEE Conference on |
| Pagination | 263 -268 vol.1 |
| Keywords | discrete time systems, interior point, iterative algorithm, iterative methods, jump Markov systems, linear systems, Markov chain, Markov processes, state estimation, Viterbi algorithm |
| Abstract | We consider the state estimation in an l1 sense of non-stationary jump Markov linear systems. The parameters of a jump Markov linear system evolve with time according to the realization of a finite state Markov chain. An iterative algorithm is presented, which cross couples an interior point based method with the Viterbi algorithm. The Viterbi algorithm yields the Markov chain sequence estimate and the interior point based scheme yields the state sequence estimate of the jump Markov linear system |
| URL | http://dx.doi.org/10.1109/CDC.1998.760681 |
| DOI | 10.1109/CDC.1998.760681 |