带有乘性噪声的连续马尔可夫跳变系统的最优估计

2021 International Conference on Intelligent Computing, Automation and Applications (ICAA) Pub Date : 2021-06-01 DOI:10.1109/ICAA53760.2021.00062

Meng Su

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引用次数: 0

摘要

研究了具有乘性噪声的连续马尔可夫跳线性系统的最优估计问题，其中乘性噪声为对角矩阵形式。首先，采用完全均方法设计最优MJL滤波器，并通过求解微分Ricatti方程获得增益。其次，设计了稳定最优滤波器。最后通过数值算例说明了该方法的有效性。

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Optimal Estimation for Continuous-Time Markov Jump Systems with Multiplicative Noise

This paper investigates the optimal estimation for continuous-time Markov jump linear (MJL) systems with multiplicative noises, where the multiplicative noise is with diagonal matrix form. Firstly, the complete mean square method is used to design the optimal MJL filter and the gain is obtained by solving the differential Ricatti equation. Secondly, the stable optimal filter is designed. Finally, a numerical example is given to show the efficiency of the method.

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2021 International Conference on Intelligent Computing, Automation and Applications (ICAA)

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