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
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages1302-1307
Number of pages6
ISBN (Print)1424403502, 9781424403509
DOIs
StatePublished - Jan 1 2006
Event2006 40th Annual Conference on Information Sciences and Systems, CISS 2006 - Princeton, NJ, United States
Duration: Mar 22 2006Mar 24 2006

Publication series

Name2006 IEEE Conference on Information Sciences and Systems, CISS 2006 - Proceedings

Other

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

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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. (2006). 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] (2006 IEEE Conference on Information Sciences and Systems, CISS 2006 - Proceedings). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/CISS.2006.286665