A decoupling Kalman filtering technique for optimal estimation of Markov chains

Author

Chen, Guanrong ; Yauqi, Yu ; de Figueiredo, Rui J.P.

Author_Institution

Dept. of Electr. Eng., Houston Univ., TX, USA

fYear

1990

fDate

5-7 Dec 1990

Firstpage

2902

Abstract

An efficient decoupling Kalman filtering technique developed by K. Chui and G. Chen (1987) is applied to certain Markov chains with finite-dimensional stationary state-transition matrices. For optimal estimation of a Markov chain with an n×n stationary state-transition matrix, the resultant computational algorithm consists of only n-1 simple one-dimensional recursive formulas

Keywords

Kalman filters; Markov processes; State estimation; filtering and prediction theory; matrix algebra; state estimation; Markov chains; decoupling Kalman filtering; state estimation; state space; state-transition matrices; Contracts; Filtering; Gaussian processes; Kalman filters; Mathematics; Recursive estimation; State estimation; State-space methods; White noise; Yttrium;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 1990., Proceedings of the 29th IEEE Conference on

Conference_Location

Honolulu, HI

Type

conf

DOI

10.1109/CDC.1990.203312

Filename

203312

Link To Document

https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3074083