Continuous and Discrete Time Filters for Markov Jump Linear Systems with Gaussian Observations

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http://doi.ieeecomputersociety.org/10.1109/SSAP.1996.534901

8th IEEE Signal Processing Workshop o ...

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	V. Krishnamurthy, J. Evans, "Continuous and Discrete Time Filters for Markov Jump Linear Systems with Gaussian Observations," Signal Processing Workshop on Statistical Signal and Array Processing, IEEE, pp. 402, 8th IEEE Signal Processing Workshop on Statistical Signal and Array Processing (SSAP '96), 1996.

	BibTex	x
	@article{ 10.1109/SSAP.1996.534901, author = {V. Krishnamurthy and J. Evans}, title = {Continuous and Discrete Time Filters for Markov Jump Linear Systems with Gaussian Observations}, journal ={Signal Processing Workshop on Statistical Signal and Array Processing, IEEE}, volume = {0}, year = {1996}, isbn = {0-8186-7576-4}, pages = {402}, doi = {http://doi.ieeecomputersociety.org/10.1109/SSAP.1996.534901}, publisher = {IEEE Computer Society}, address = {Los Alamitos, CA, USA}, }

	RefWorks Procite/RefMan/Endnote	x
	TY - CONF JO - Signal Processing Workshop on Statistical Signal and Array Processing, IEEE TI - Continuous and Discrete Time Filters for Markov Jump Linear Systems with Gaussian Observations SN - 0-8186-7576-4 SP EP A1 - V. Krishnamurthy, A1 - J. Evans, PY - 1996 VL - 0 JA - Signal Processing Workshop on Statistical Signal and Array Processing, IEEE ER -

V. Krishnamurthy

J. Evans

We present new finite dimensional filters for estimating the state of Markov jump linear systems, given noisy measurements of the Markou chain. Discrete time as well as continuous time models are considered. A robust version of the continuous time filters is used to derive a discretiration which links the continuous and discrete time results. Simulations compare the robust discretization with direct numerical solutions of the filtering equations. The new filters have applications in the passive tracking of maneuvering targets and speech coding.

Citation:

V. Krishnamurthy, J. Evans, "Continuous and Discrete Time Filters for Markov Jump Linear Systems with Gaussian Observations," ssap, pp.402, 8th IEEE Signal Processing Workshop on Statistical Signal and Array Processing (SSAP '96), 1996

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