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Oswaldo L. V. Costa
Departamento de Engenharia de Telecomunicações e Controle, Escola Politécnica da Universidade de São Paulo, São Paulo, SP
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André M. de Oliveira
Instituto de Ciência e Tecnologia, Universidade Federal de São Paulo, São José dos Campos, SP
Keywords:
discrete-time, Markovian jump systems, “prediction-correction” formula, finite horizon, Riccati equations
Abstract
In this paper we consider a finite horizon filtering problem for discrete-time Markov jump linear systems. We assume that only the output and the jump parameters are available to the filter and the goal is to obtain a “prediction-correction” formula which is optimal among the Markovian filters. As in the case with no jumps, we show that an optimal filter can be obtained from a set of coupled Riccati difference equations associated to the filtering problem. When there is only one mode of operation our results coincide with the traditional Kalman filter for discrete-time linear systems.
