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Clustered Information Filter for Markov Jump Linear Systems

hal.structure.identifierInstituto de Ciências Mathemàticas e de Computação [São Carlos] [ICMC-USP]
dc.contributor.authorCOSTA, Eduardo
hal.structure.identifierQuality control and dynamic reliability [CQFD]
hal.structure.identifierInstitut Montpelliérain Alexander Grothendieck [IMAG]
dc.contributor.authorDE SAPORTA, Benoîte
dc.date.accessioned2024-04-04T03:09:47Z
dc.date.available2024-04-04T03:09:47Z
dc.date.issued2017
dc.date.conference2017-07-10
dc.identifier.urihttps://oskar-bordeaux.fr/handle/20.500.12278/193635
dc.description.abstractEnMinimum mean square error estimation for linear systems with Markov jump parameters is addressed. The jump variable is assumed to be observed, however only cluster information is taken into account in the filter design, allowing one to seek for the best implementable estimator via the cardinality and choice of the clusters. With this new approach we introduce a set of filters that can be compared in terms of performance according to the refines of clusters of the Markov chain. Moreover, it includes as particular cases the well known Kalman filter with as many clusters as Markov states, as well as the linear Markovian estimator with only one cluster. The Riccati-like formulas for pre-computation of gains are given, and we explore the trade-off between complexity and performance via numerical examples.
dc.description.sponsorshipErgodicité, contrôle et statistique pour les PDMP - ANR-12-JS01-0006
dc.language.isoen
dc.title.enClustered Information Filter for Markov Jump Linear Systems
dc.typeCommunication dans un congrès
dc.subject.halMathématiques [math]/Probabilités [math.PR]
bordeaux.hal.laboratoriesInstitut de Mathématiques de Bordeaux (IMB) - UMR 5251*
bordeaux.institutionUniversité de Bordeaux
bordeaux.institutionBordeaux INP
bordeaux.institutionCNRS
bordeaux.conference.titleCT 2017 - SIAM Conference on Control and Its Applications
bordeaux.countryUS
bordeaux.conference.cityPittsburgh
bordeaux.peerReviewedoui
hal.identifierhal-01563236
hal.version1
hal.invitedoui
hal.proceedingsnon
hal.conference.end2017-07-12
hal.popularnon
hal.audienceInternationale
hal.origin.linkhttps://hal.archives-ouvertes.fr//hal-01563236v1
bordeaux.COinSctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.date=2017&rft.au=COSTA,%20Eduardo&DE%20SAPORTA,%20Beno%C3%AEte&rft.genre=unknown


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