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|Title:||Design and stability of moving horizon estimator for Markov jump linear systems|
|Citation:||IEEE Transactions on Automatic Control, 2019; 64(3):1109-1124|
|Publisher:||Institute of Electrical and Electronics Engineers|
|Qing Sun, Cheng-Chew Lim, Peng Shi and Fei Liu|
|Abstract:||This paper presents a moving horizon algorithm with mode detection for state estimation in Markov jump systems with Gaussian noise. This state estimation scheme is a combination of the maximum-likelihood algorithm and the moving horizon approach. The maximum-likelihood algorithm provides optimal estimate of the mode sequence within a moving fixed-size horizon, and the moving horizon estimation is an optimization-based solution. As a result, a mode detection-moving horizon estimator design method is proposed. Through the stochastic observability properties of the Markov jump linear systems, sufficient conditions for stability are established.|
|Keywords:||Markov jump systems; maximum-likelihood algorithm; moving horizon approach; state estimation|
|Rights:||© 2018 IEEE. Personal use is permitted, but republication/redistribution requires IEEE permission. See http://www.ieee.org/publications standards/publications/rights/index.html for more information.|
|Appears in Collections:||Electrical and Electronic Engineering publications|
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