Causal and strictly causal estimation for jump linear systems: An LMI analysis

Alyson K. Fletcher, Sundeep Rangan, Vivek K. Goyal, Kannan Ramchandran

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

Jump linear systems are linear state-space systems with random time variations driven by a finite Markov chain. These models are widely used in nonlinear control, and more recently, in the study of communication over lossy channels. This paper considers a general jump linear estimation problem of estimating an unknown signal from an observed signal, where both signals are described as outputs of a jump linear system. A bound on the minimum achievable estimation error in terms of linear matrix inequalities (LMIs) is presented, along with a simple jump linear estimator that achieves this bound. While previous analysis has considered only the strictly causal estimation problem, this work presents both strictly causal and causal solutions.

Original languageEnglish (US)
Title of host publication2006 IEEE Conference on Information Sciences and Systems, CISS 2006 - Proceedings
Pages1302-1307
Number of pages6
DOIs
StatePublished - 2007
Event2006 40th Annual Conference on Information Sciences and Systems, CISS 2006 - Princeton, NJ, United States
Duration: Mar 22 2006Mar 24 2006

Other

Other2006 40th Annual Conference on Information Sciences and Systems, CISS 2006
CountryUnited States
CityPrinceton, NJ
Period3/22/063/24/06

Fingerprint

Linear matrix inequalities
Linear systems
Markov processes
Error analysis
Communication

Keywords

  • Jump linear systems
  • Kalman filtering
  • State estimation

ASJC Scopus subject areas

  • Computer Science(all)

Cite this

Fletcher, A. K., Rangan, S., Goyal, V. K., & Ramchandran, K. (2007). Causal and strictly causal estimation for jump linear systems: An LMI analysis. In 2006 IEEE Conference on Information Sciences and Systems, CISS 2006 - Proceedings (pp. 1302-1307). [4068006] https://doi.org/10.1109/CISS.2006.286665

Causal and strictly causal estimation for jump linear systems : An LMI analysis. / Fletcher, Alyson K.; Rangan, Sundeep; Goyal, Vivek K.; Ramchandran, Kannan.

2006 IEEE Conference on Information Sciences and Systems, CISS 2006 - Proceedings. 2007. p. 1302-1307 4068006.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Fletcher, AK, Rangan, S, Goyal, VK & Ramchandran, K 2007, Causal and strictly causal estimation for jump linear systems: An LMI analysis. in 2006 IEEE Conference on Information Sciences and Systems, CISS 2006 - Proceedings., 4068006, pp. 1302-1307, 2006 40th Annual Conference on Information Sciences and Systems, CISS 2006, Princeton, NJ, United States, 3/22/06. https://doi.org/10.1109/CISS.2006.286665
Fletcher AK, Rangan S, Goyal VK, Ramchandran K. Causal and strictly causal estimation for jump linear systems: An LMI analysis. In 2006 IEEE Conference on Information Sciences and Systems, CISS 2006 - Proceedings. 2007. p. 1302-1307. 4068006 https://doi.org/10.1109/CISS.2006.286665
Fletcher, Alyson K. ; Rangan, Sundeep ; Goyal, Vivek K. ; Ramchandran, Kannan. / Causal and strictly causal estimation for jump linear systems : An LMI analysis. 2006 IEEE Conference on Information Sciences and Systems, CISS 2006 - Proceedings. 2007. pp. 1302-1307
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