Array Algorithm for Filtering of Discrete-Time Markovian Jump Linear Systems

This note develops an array algorithm for optimal filtering of discrete-time Markovian jump linear systems (DTMJLSs). The known advantages of this kind of algorithm, which was originally developed for normal state-space systems, remain valid when it is applied to linear systems subject to Markovian...

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Bibliographic Details
Published in:IEEE transactions on automatic control 2007-07, Vol.52 (7), p.1293-1296
Main Authors: Terra, M.H., Ishihara, J.Y., Junior, A.P.
Format: Article
Language:English
Subjects:
Algorithms
Applied sciences
Array algorithm
Arrays
Computer science
control theory
systems
Control theory. Systems
Covariance matrix
discrete time
Dynamic range
Dynamical systems
Dynamics
Exact sciences and technology
Filtering
Filtering algorithms
Filtration
Heuristic algorithms
Kalman filters
Linear systems
Markovian jump
Nonlinear filters
Optimization
Recursive estimation
Riccati equations
Stability
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Summary:This note develops an array algorithm for optimal filtering of discrete-time Markovian jump linear systems (DTMJLSs). The known advantages of this kind of algorithm, which was originally developed for normal state-space systems, remain valid when it is applied to linear systems subject to Markovian jumps. It is numerically more stable in the sense that it presents better conditioning and reduced dynamical range. A numerical example, based on fixed-point implementations, is presented in order to demonstrate the advantage of this algorithm.
ISSN:0018-9286
1558-2523
DOI:10.1109/TAC.2007.900833