Optimal linear mean square filter for the operation mode of continuous‐time Markovian jump linear systems
| Autor: | Fortia V. Verges, Marcelo D. Fragoso |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
0209 industrial biotechnology
Control and Optimization Computer science Markov process Context (language use) 02 engineering and technology symbols.namesake 020901 industrial engineering & automation Control theory Nonlinear filter 0202 electrical engineering electronic engineering information engineering Filtering problem Symmetric matrix Electrical and Electronic Engineering Numerical analysis Linear system Filter (signal processing) Optimal control Computer Science Applications Human-Computer Interaction Dynamic programming Nonlinear system Control and Systems Engineering symbols 020201 artificial intelligence & image processing Linear filter |
| Zdroj: | CDC |
| ISSN: | 1751-8652 |
| Popis: | This paper makes a further foray on the study of the filtering problem for the class of Markov jump linear systems (MJLSs). The authors shall be particularly interested in the filtering problem for the Markov jump parameter (the operation mode). Previous result in the literature on this problem has been obtained by Wonham, which has derived an optimal non-linear filter for this problem. The main hindrance with Wonham's result, in the context of the optimal control problem for MJLS with partial observation of the operation mode, is that it introduces a great deal of non-linearity in the Hamilton-Jacobi-Belman equation, which makes it difficult to get an explicit closed solution for the control problem. Motivated, in part, by this, the main contribution of this paper is to devise an optimal linear filter for the mode operation, which they believe could be more favourable in the solution of the control problem with partial observations. In addition, relying on Murayama's stochastic numerical method and the results by Chenggui-Yuan, they carry out simulation of Wonham's filter, and the one devised in this paper, in order to compare their performances. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|
Plný text