l1 state estimation of jump Markov linear systems

Titlel1 state estimation of jump Markov linear systems
Publication TypeConference Paper
Year of Publication1998
AuthorsCarlemalm, C., A. Logothetis, and V. Krishnamurthy
Conference NameDecision and Control, 1998. Proceedings of the 37th IEEE Conference on
Pagination263 -268 vol.1
Keywordsdiscrete 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

URLhttp://dx.doi.org/10.1109/CDC.1998.760681
DOI10.1109/CDC.1998.760681

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