State estimation for systems with multiple operational modes

The estimation of a multimodal linear system whose mode-to-mode transitions are described by a finite state Markov chain is studied. A suboptimal estimator is derived which closely approximates the optimal estimator. It is shown that, in general, the suboptimal estimator reduces to the evaluation of s2 recursive Kalman-filter equations where s is the number of system modes; under certain conditions, only s Kalman-filter equations need be solved.