Detection and estimation for abruptly changing systems
- 1 December 1981
- conference paper
- Published by Institute of Electrical and Electronics Engineers (IEEE)
Abstract
The problem of state estimation and system structure detection for discrete stochastic dynamical systems with parameters which may switch among a finite set of values is considered. The switchings are modelled by a Markov chain with known transition probabilities. A brief survey and a unified treatment of the existing suboptimal algorithms are provided. The optimal algorithms require exponentially increasing memory and computations with time. Simulation results comparing the various suboptimal algorithms are presented.Keywords
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