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l1 state estimation of jump Markov linear systems

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3 Author(s)
Carlemalm, C. ; Dept. of Autom. Control, R. Inst. of Technol., Stockholm, Sweden ; Logothetis, A. ; Krishnamurthy, V.

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

Published in:

Decision and Control, 1998. Proceedings of the 37th IEEE Conference on  (Volume:1 )

Date of Conference:

1998