Details

Autor(en) / Beteiligte

• Blom, H.A.P.
• Bar-Shalom, Y.

Titel

The interacting multiple model algorithm for systems with Markovian switching coefficients

Ist Teil von

• IEEE transactions on automatic control, 1988-08, Vol.33 (8), p.780-783

Ort / Verlag

New York, NY: IEEE

Erscheinungsjahr

1988

Quelle

IEEE Xplore

Beschreibungen/Notizen

• An important problem in filtering for linear systems with Markovian switching coefficients (dynamic multiple model systems) is the management of hypotheses, which is necessary to limit the computational requirements. A novel approach to hypotheses merging is presented for this problem. The novelty lies in the timing of hypotheses merging. When applied to the problem of filtering for a linear system with Markovian coefficients, the method is an elegant way to derive the interacting-multiple-model (IMM) algorithm. Evaluation of the IMM algorithm shows that it performs well at a relatively low computational load. These results imply a significant change in the state of the art of approximate Bayesian filtering for systems with Markovian coefficients.< >