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

Qing Sun, Shunyi Zhao and Yanyan Yin

Abstract and Applied Analysis, 2014, vol. 2014, 1-11

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.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlaaa:568252

DOI: 10.1155/2014/568252

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