Linear optimal state estimation in systems with independent mode transitions


A generalized state space representation of a dynamical system with random modes is presented. The dynamics equation includes the effect of the state's linear minimum mean squared error (LMMSE) optimal estimate, representing the behavior of a closed loop control system featuring a state estimator. The measurement equation is allowed to depend on past LMMSE… (More)
DOI: 10.1109/CDC.2011.6161105

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