Array Algorithm for Filtering of Discrete-Time Markovian Jump Linear Systems

• Published in: IEEE transactions on automatic control Vol. 52; no. 7; pp. 1293 - 1296
• Main Authors: Terra, M.H., Ishihara, J.Y., Junior, A.P.
• Format: Journal Article
• Language: English
• Published: New York, NY IEEE 01.07.2007; Institute of Electrical and Electronics Engineers; The Institute of Electrical and Electronics Engineers, Inc. (IEEE)
• Subjects: Algorithms; Applied sciences; Array algorithm; Arrays; Computer science; control theory; systems; Control theory. Systems; Covariance matrix; discrete time; Dynamic range; Dynamical systems; Dynamics; Exact sciences and technology; Filtering; Filtering algorithms; Filtration; Heuristic algorithms; Kalman filters; Linear systems; Markovian jump; Nonlinear filters; Optimization; Recursive estimation; Riccati equations; Stability; Markov process; Markovian system; Optimal algorithm; Linear time; linear systems; State space method; Minimum time; Array algorithm; Fix point; Fixed point theorem; Optimal filtering; Discrete time; Jump process; filtering; Markovian jump
• ISSN: 0018-9286; 1558-2523
• DOI: 10.1109/TAC.2007.900833

This note develops an array algorithm for optimal filtering of discrete-time Markovian jump linear systems (DTMJLSs). The known advantages of this kind of algorithm, which was originally developed for normal state-space systems, remain valid when it is applied to linear systems subject to Markovian jumps. It is numerically more stable in the sense that it presents better conditioning and reduced dynamical range. A numerical example, based on fixed-point implementations, is presented in order to demonstrate the advantage of this algorithm.