Exact hybrid filters in discrete time
- 1 January 1996
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 41 (12) , 1807-1810
- https://doi.org/10.1109/9.545745
Abstract
Using the reference probability method and the change of measure in discrete time, the state estimator problem is considered for linear systems observed in Gaussian noise when the coefficients are functions of a noisily observed, finite-state Markov chain. The methods are new, and finite-dimensional filters are obtained. However, the number of statistics increases in time. A numerical comparison of this filter with the interactive multiple model algorithm introduced by Blom and Bar-Shalom (1988) is given.Keywords
This publication has 6 references indexed in Scilit:
- Gain adaptive trackingJournal of Guidance, Control, and Dynamics, 1993
- A general recursive discrete-time filterJournal of Applied Probability, 1993
- Reconfigurable flight control via multiple model adaptive control methodsIEEE Transactions on Aerospace and Electronic Systems, 1991
- Assessment of air-to-air missile guidance and control technologyIEEE Control Systems Magazine, 1989
- The interacting multiple model algorithm for systems with Markovian switching coefficientsIEEE Transactions on Automatic Control, 1988
- On state estimation in switching environmentsIEEE Transactions on Automatic Control, 1970