Abstract
A state estimator design is described for discrete time systems having observably intermittent measurements. A stationary Markov process is used to model probabilistic measurement losses. The stationarity of the Markov process suggests an analagous stationary estimator design related to the Markov states. A precomputable time-varying state estimator is proposed as an alternative to Kalman's optimal time-varying estimation scheme applied to a discrete linear system with Markovian intermittent measurements. An iterative scheme to find optimal precomputed estimators is given. The results here naturally extend to Markovian jump linear systems.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 3021-3027 |
| Number of pages | 7 |
| Journal | Proceedings of the American Control Conference |
| Volume | 4 |
| DOIs | |
| State | Published - 2002 |