A decoupling Kalman filtering technique for optimal estimation of Markov chains

Guanrong Chen; Yu Yauqi; Rui J P de Figueiredo

doi:10.1109/CDC.1990.203312

A decoupling Kalman filtering technique for optimal estimation of Markov chains

Guanrong Chen
, Yu Yauqi
, Rui J P de Figueiredo

Research output: Journal Publications and Reviews › RGC 22 - Publication in policy or professional journal

1 Citation (Scopus)

Abstract

An efficient decoupling Kalman filtering technique developed by K. Chui and G. Chen (1987) is applied to certain Markov chains with finite-dimensional stationary state-transition matrices. For optimal estimation of a Markov chain with an n × n stationary state-transition matrix, the resultant computational algorithm consists of only n - 1 simple one-dimensional recursive formulas.

Original language	English
Pages (from-to)	2902-2903
Journal	Proceedings of the IEEE Conference on Decision and Control
Volume	5
DOIs	https://doi.org/10.1109/CDC.1990.203312
Publication status	Published - 1990
Externally published	Yes
Event	Proceedings of the 29th IEEE Conference on Decision and Control Part 5 (of 6) - Honolulu, HI, USA Duration: 5 Dec 1990 → 7 Dec 1990

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10.1109/CDC.1990.203312

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@article{2a646e18306e4af7b30265f80ba76c48,

title = "A decoupling Kalman filtering technique for optimal estimation of Markov chains",

abstract = "An efficient decoupling Kalman filtering technique developed by K. Chui and G. Chen (1987) is applied to certain Markov chains with finite-dimensional stationary state-transition matrices. For optimal estimation of a Markov chain with an n × n stationary state-transition matrix, the resultant computational algorithm consists of only n - 1 simple one-dimensional recursive formulas.",

author = "Guanrong Chen and Yu Yauqi and \{de Figueiredo\}, \{Rui J P\}",

year = "1990",

doi = "10.1109/CDC.1990.203312",

language = "English",

volume = "5",

pages = "2902--2903",

journal = "Proceedings of the IEEE Conference on Decision and Control",

issn = "0191-2216",

publisher = "IEEE",

note = "Proceedings of the 29th IEEE Conference on Decision and Control Part 5 (of 6) ; Conference date: 05-12-1990 Through 07-12-1990",

}

TY - JOUR

T1 - A decoupling Kalman filtering technique for optimal estimation of Markov chains

AU - Chen, Guanrong

AU - Yauqi, Yu

AU - de Figueiredo, Rui J P

PY - 1990

Y1 - 1990

N2 - An efficient decoupling Kalman filtering technique developed by K. Chui and G. Chen (1987) is applied to certain Markov chains with finite-dimensional stationary state-transition matrices. For optimal estimation of a Markov chain with an n × n stationary state-transition matrix, the resultant computational algorithm consists of only n - 1 simple one-dimensional recursive formulas.

AB - An efficient decoupling Kalman filtering technique developed by K. Chui and G. Chen (1987) is applied to certain Markov chains with finite-dimensional stationary state-transition matrices. For optimal estimation of a Markov chain with an n × n stationary state-transition matrix, the resultant computational algorithm consists of only n - 1 simple one-dimensional recursive formulas.

UR - https://www.scopus.com/pages/publications/0025550531

UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-0025550531&origin=recordpage

U2 - 10.1109/CDC.1990.203312

DO - 10.1109/CDC.1990.203312

M3 - RGC 22 - Publication in policy or professional journal

SN - 0191-2216

VL - 5

SP - 2902

EP - 2903

JO - Proceedings of the IEEE Conference on Decision and Control

JF - Proceedings of the IEEE Conference on Decision and Control

T2 - Proceedings of the 29th IEEE Conference on Decision and Control Part 5 (of 6)

Y2 - 5 December 1990 through 7 December 1990

ER -

A decoupling Kalman filtering technique for optimal estimation of Markov chains

Abstract

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