LMMSE estimation of Markovian jump linear systems with random parameters and estimate feedback

Abstract

This paper considers the state estimation of Markovian jump linear systems with random parameters and estimate feedback. The state estimate at the previous epoch is introduced into the dynamical model to depict some phenomena that the system evolvement may depend on the most recent estimate. Then, the linear minimum mean square error estimator is derived… (More)
DOI: 10.23919/ICIF.2017.8009650

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