State estimation of discrete-time Markov jump linear systems based on linear minimum mean-square error estimate

@article{Liu2010StateEO,
  title={State estimation of discrete-time Markov jump linear systems based on linear minimum mean-square error estimate},
  author={Wei Liu},
  journal={2010 Chinese Control and Decision Conference},
  year={2010},
  pages={3289-3294}
}
  • Wei Liu
  • Published in
    Chinese Control and Decision…
    2010
  • Mathematics
  • This paper considers state estimation problem for discrete-time Markov jump linear systems. For this, two algorithm are presented. The first algorithm is an optimal algorithm of state estimation in the sense of linear minimum mean-square error estimate, which requires an ever-increasing computation and storage load with the length of the noise observation sequence. The second algorithm is a suboptimal algorithm which is proposed to reduce the computation and storage load of the optimal… CONTINUE READING

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    State estimation of discrete-time Markov jump linear systems in the environment of arbitrarily correlated noises

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