Title: Recursive filtering using quasi-realizations
Authors: Vanluyten, Bart ×
Willems, Jan C.
De Moor, Bart #
Issue Date: 2006
Publisher: Springer-Verlag
Series Title: Lecture Notes in Control and Information Sciences vol:341 pages:367-374
Abstract: In this paper we consider a finite state Markov chain with two outputs, an observed output and a to-be-estimated output, and derive a recursive estimator for the to-be-estimated output from an observed output string. The main point of this article is to illustrate that for this kind of filtering problem, it is not needed to have a positive hidden Markov realization of the joint process, but it suffices to have a quasi-realization. We also present an approximate quasi-realization algorithm. We perform a simulation comparing the behavior of the exact, experimental and approximate quasi-realizations and checking the performance of the estimator.
ISSN: 0170-8643
Publication status: published
KU Leuven publication type: IT
Appears in Collections:ESAT - STADIUS, Stadius Centre for Dynamical Systems, Signal Processing and Data Analytics
× corresponding author
# (joint) last author

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