Title :
l1 state estimation of jump Markov linear systems
Author :
Carlemalm, Catharina ; Logothetis, Andrew ; Krishnamurthy, Vikram
Author_Institution :
Dept. of Autom. Control, R. Inst. of Technol., Stockholm, Sweden
Abstract :
We consider the state estimation in an l1 sense of non-stationary jump Markov linear systems. The parameters of a jump Markov linear system evolve with time according to the realization of a finite state Markov chain. An iterative algorithm is presented, which cross couples an interior point based method with the Viterbi algorithm. The Viterbi algorithm yields the Markov chain sequence estimate and the interior point based scheme yields the state sequence estimate of the jump Markov linear system
Keywords :
Markov processes; discrete time systems; iterative methods; linear systems; state estimation; Markov chain; Viterbi algorithm; discrete time systems; interior point; iterative algorithm; jump Markov systems; linear systems; state estimation; Automatic control; Cyclic redundancy check; Iterative algorithms; Linear programming; Linear systems; Polynomials; State estimation; Time varying systems; Viterbi algorithm; Yield estimation;
Conference_Titel :
Decision and Control, 1998. Proceedings of the 37th IEEE Conference on
Conference_Location :
Tampa, FL
Print_ISBN :
0-7803-4394-8
DOI :
10.1109/CDC.1998.760681
