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Estimates for Discrete-Time Markovian Jump Linear Systems

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  • Marco H. Terra
  • Gildson Jesus
  • João Y. Ishihara

Abstract

This paper deals with the problem of filtering for discrete-time Markovian jump linear systems. Predicted and filtered estimates are obtained based on the game theory. Both filters are solved through recursive algorithms. The Markovian system considered assumes that the jump parameters are not accessible. Necessary and sufficient conditions are provided to the existence of the filters. A numerical example is provided in order to show the effectiveness of the approach proposed.

Suggested Citation

  • Marco H. Terra & Gildson Jesus & João Y. Ishihara, 2013. "Estimates for Discrete-Time Markovian Jump Linear Systems," Mathematical Problems in Engineering, Hindawi, vol. 2013, pages 1-7, July.
    • Handle: RePEc:hin:jnlmpe:945342
    DOI: 10.1155/2013/945342
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