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

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

doi:10.1109/CISS.2006.286665

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

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

Electrical and Computer Engineering

Research output: Chapter in Book/Report/Conference proceeding › Conference 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 language	English (US)
Title of host publication	2006 IEEE Conference on Information Sciences and Systems, CISS 2006 - Proceedings
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	1302-1307
Number of pages	6
ISBN (Print)	1424403502, 9781424403509
DOIs	https://doi.org/10.1109/CISS.2006.286665
State	Published - 2006
Event	2006 40th Annual Conference on Information Sciences and Systems, CISS 2006 - Princeton, NJ, United States Duration: Mar 22 2006 → Mar 24 2006

Publication series

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

Other

Other	2006 40th Annual Conference on Information Sciences and Systems, CISS 2006
Country/Territory	United States
City	Princeton, NJ
Period	3/22/06 → 3/24/06

Keywords

Jump linear systems
Kalman filtering
State estimation

ASJC Scopus subject areas

General Computer Science

Access to Document

10.1109/CISS.2006.286665

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). Article 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

Causal and strictly causal estimation for jump linear systems: An LMI analysis. / Fletcher, Alyson K.; Rangan, Sundeep; Goyal, Vivek K. et al.
2006 IEEE Conference on Information Sciences and Systems, CISS 2006 - Proceedings. Institute of Electrical and Electronics Engineers Inc., 2006. p. 1302-1307 4068006 (2006 IEEE Conference on Information Sciences and Systems, CISS 2006 - Proceedings).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Fletcher, AK, Rangan, S, Goyal, VK & 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., 4068006, 2006 IEEE Conference on Information Sciences and Systems, CISS 2006 - Proceedings, Institute of Electrical and Electronics Engineers Inc., 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. Institute of Electrical and Electronics Engineers Inc. 2006. p. 1302-1307. 4068006. (2006 IEEE Conference on Information Sciences and Systems, CISS 2006 - Proceedings). doi: 10.1109/CISS.2006.286665

Fletcher, Alyson K. ; Rangan, Sundeep ; Goyal, Vivek K. et al. / Causal and strictly causal estimation for jump linear systems : An LMI analysis. 2006 IEEE Conference on Information Sciences and Systems, CISS 2006 - Proceedings. Institute of Electrical and Electronics Engineers Inc., 2006. pp. 1302-1307 (2006 IEEE Conference on Information Sciences and Systems, CISS 2006 - Proceedings).

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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.",

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AB - 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.

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KW - State estimation

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

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Keywords

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