Array Algorithm for Filtering of Discrete-Time Markovian Jump Linear Systems
Array Algorithm for Filtering of Discrete-Time Markovian Jump Linear Systems
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DOI：
10.1109/tac.2007.900833
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发表时间：
2007-07
影响因子：
6.8
通讯作者：
M. Terra;J. Ishihara;Antonio P. Junior
中科院分区：
文献类型：
--
作者：
M. Terra;J. Ishihara;Antonio P. Junior
本文提出了离散马尔可夫跳跃线性系统(DTMJLSS)最优滤波的阵列算法。这种算法最初是为正常状态空间系统开发的，当它应用于具有马尔可夫跳跃的线性系统时，这种算法的已知优点仍然有效。它在数值上更稳定，因为它呈现出更好的条件和更小的动态范围。为了说明该算法的优越性，给出了一个基于定点实现的数值算例。
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.