Robust Estimation for Discrete-Time Markovian Jump Linear Systems in a Data Fusion Scenario
Keywords:Markovian Systems, Data Fusion, Robustness, Kalman Filter
This paper considers the problem of robust recursive estimation for discrete-time Markovian jump linear systems in both weighted and probabilistic data fusion scenarios. The problem is stated in terms of the optimization of an appropriate quadratic functional in a data fusion scenario. The estimates presented here were developed based on systems with more than one measurement equation. Numerical examples are presented to verify the effectiveness of proposed algorithms.
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