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Home | Research | Faculty Publications List | Linear Recursive State Estimators Under Uncertain Observations

Linear Recursive State Estimators Under Uncertain Observations

Reference Type: 
Journal Paper
Authors: 
External Authors: 

Schwartz, S.

Periodical Name: 
IEEE Transactions on Automatic Control
Volume : 
24
Number: 
6
Date: 
Dec 1979
Pages: 
944 - 948
Notes: 

For linear systems with uncertain observations, we investigate the existence of recursive least-squares state estimators. The uncertainty in the observations is caused by a binary switching sequence γk, which is specified by a conditional probability distribution and which enters the observation equation as z_{k} = gamma_{k} H_{k} x_{k}+upsilon_{k}. Conditions are established which lead to a recursive filter for xk, and a procedure for constructing a mixture sequence{gamma_{k}}that satisfies these conditions is given. Such mixture sequences model the transmission of data in multichannels as in remote sensing situations as well as data links with random interruptions. They can also serve as models for communication in the presence of multiplicative noise.