IEEE Transactions on Automatic Control, Vol.54, No.1, 158-162, 2009
Information Filtering and Array Algorithms for Discrete-Time Markovian Jump Linear Systems
This technical note develops information filter and array algorithms for a linear minimum mean square error estimator of discrete-time Markovian jump linear systems. A numerical example for a two-mode Markovian jump linear system, to show the advantage of using array algorithms to filter this class of systems, is provided.