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This paper considers the optimal linear estimates recursion problem for discrete-time linear systems in its more general formulation. The system is allowed to be in descriptor form, rectangular, time-variant, and with the dynamical and measurement noises correlated. We propose a new expression for the filter recursive equations which presents an interesting simple and symmetric structure. Convergence...
This paper deals with computational issues of robust filtering for discrete-time Markovian jump linear systems. We develop information filter and array algorithms to estimate this kind of system. We present numerical examples to demonstrate the advantages of the approaches we are proposing.
This paper deals with the problem of H221E; filtering for discrete-time Markovian jump linear systems. Predicted and filtered recursive estimates are obtained based on the game theory. In this paper, it is assumed that the jump parameter is not accessible. A numerical example is provided in order to show the effectiveness of the approach proposed.
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