Title :
Exact hybrid filters in discrete time
Author :
Elliott, Robert J. ; Dufour, François ; Sworder, Dave D.
Author_Institution :
Dept. of Math. Sci., Alberta Univ., Edmonton, Alta., Canada
fDate :
12/1/1996 12:00:00 AM
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 :
Gaussian noise; discrete time filters; filtering theory; hidden Markov models; linear systems; probability; state estimation; state-space methods; Gaussian noise; discrete time systems; finite-dimensional filters; finite-state Markov chain; hidden Markov model; linear systems; probability; state estimator; state space; Ear; Filters; Filtration; Gaussian noise; Labeling; Noise measurement; State estimation; State-space methods; Statistics; Time measurement;
Journal_Title :
Automatic Control, IEEE Transactions on
