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Optimal State Estimation for Discrete‐Time Markov Jump Systems with Missing Observations

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  • Qing Sun
  • Shunyi Zhao
  • Yanyan Yin

Abstract

This paper is concerned with the optimal linear estimation for a class of direct‐time Markov jump systems with missing observations. An observer‐based approach of fault detection and isolation (FDI) is investigated as a detection mechanic of fault case. For systems with known information, a conditional prediction of observations is applied and fault observations are replaced and isolated; then, an FDI linear minimum mean square error estimation (LMMSE) can be developed by comprehensive utilizing of the correct information offered by systems. A recursive equation of filtering based on the geometric arguments can be obtained. Meanwhile, a stability of the state estimator will be guaranteed under appropriate assumption.

Suggested Citation

  • Qing Sun & Shunyi Zhao & Yanyan Yin, 2014. "Optimal State Estimation for Discrete‐Time Markov Jump Systems with Missing Observations," Abstract and Applied Analysis, John Wiley & Sons, vol. 2014(1).
    • Handle: RePEc:wly:jnlaaa:v:2014:y:2014:i:1:n:568252
    DOI: 10.1155/2014/568252
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    References listed on IDEAS

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    1. Q. Zhang, 1999. "Optimal Filtering of Discrete-Time Hybrid Systems," Journal of Optimization Theory and Applications, Springer, vol. 100(1), pages 123-144, January.
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