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首页> 外文期刊>Control Theory & Applications, IET >Linear minimum mean-square estimation for discrete-time measurement-delay systems with multiplicative noise and Markov jump
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Linear minimum mean-square estimation for discrete-time measurement-delay systems with multiplicative noise and Markov jump

机译：具有乘性噪声和马尔可夫跳变的离散时间测量延迟系统的线性最小均方估计

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摘要

This study addresses the estimation problem for discrete-time measurement-delay systems with multiplicative noise and Markov jump. First, the state equation is converted into two equations according to the geometric arguments and flexible transformations. Then, based on the reorganised innovation approach, the finite-horizon linear minimum mean-square-error estimator is derived in terms of two Riccati difference equations and two Lyapunov difference equations. Finally, under the assumptions of mean square stability of the system and ergodicity of the associated Markov chain, a sufficient condition for the existence of the infinite-horizon estimator is presented. We provide a numerical example to manifest the efficiency of the proposed approach.
机译：这项研究解决了具有乘法噪声和马尔可夫跳变的离散时间测量延迟系统的估计问题。首先，根据几何参数和弹性变换将状态方程转换为两个方程。然后，基于重组的创新方法，根据两个Riccati差分方程和两个Lyapunov差分方程，推导了有限水平线性最小均方误差估计量。最后，在系统均方稳定性和相关马尔可夫链遍历性的假设下，给出了存在无限水平估计量的充分条件。我们提供了一个数值示例来证明所提出方法的效率。

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