Electrical and Computer Engineering
2332 Main Mall
Vancouver,
BC
Canada
V6T 1Z4
Tel +1.604.822.2872
Fax +1.604.822.5949
Email:
info@ece.ubc.ca
| Title | Continuous and discrete time filters for Markov jump linear systems with Gaussian observations |
| Publication Type | Conference Paper |
| Year of Publication | 1996 |
| Authors | Krishnamurthy, V., and J. Evans |
| Conference Name | Statistical Signal and Array Processing, 1996. Proceedings., 8th IEEE Signal Processing Workshop on (Cat. No.96TB10004 |
| Pagination | 402 -405 |
| Date Published | jun. |
| Keywords | continuous time filters, direct numerical solutions, discrete time approximate model, discrete time filters, filtering equations, filtering theory, finite dimensional filters, Gaussian noise, Gaussian observations, linear systems, maneuvering targets, Markov chain, Markov jump linear systems, Markov processes, noisy measurements, passive tracking, robust discretization, simulations, speech coding, state estimation, target tracking, tracking filters |
| Abstract | We present new finite dimensional filters for estimating the state of Markov jump linear systems, given noisy measurements of the Markov chain. Discrete time as well as continuous time models are considered. A robust version of the continuous time filters is used to derive a discretization which links the continuous and discrete time results. Simulations compare the robust discretization with direct numerical solutions of the filtering equations. The new filters have applications in the passive tracking of maneuvering targets and speech coding |
| URL | http://dx.doi.org/10.1109/SSAP.1996.534901 |
| DOI | 10.1109/SSAP.1996.534901 |