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Optimal linear filtering for discrete-time Markovian jump linear systems

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1 Author(s)
Costa, O.L.V. ; Dept. de Engenharia Eletronica, Sao Paulo, Brazil

Optimal linear state estimation for discrete-time linear systems subject to Markovian abrupt changes in the parameters is considered. It is not assumed that random sequences are Gaussian. The filter equations are derived in a recursive form, resulting in an online algorithm suitable for computer implementation

Published in:

Decision and Control, 1991., Proceedings of the 30th IEEE Conference on

Date of Conference:

11-13 Dec 1991