Robust state observer of continues-time inhomogeneous Markov chain
The problem of constructing an estimate of the state of an inhomogeneous finite Markov chain with continuous time is solved. The Markov chain is considered as a linear dynamic system with incomplete information about the state and parameters of the system. A linear combination of state variables is available for measurement. It is assumed that the intensities of the transitions in the Markov chain are not exactly known. The state assessment is based on the classical observer of the full Luenberger order. The conditions for the existence of an observer are determined, an algorithm for synthesizing the observer is described, the conditions for the robustness of the observer are investigated, and a numerical example is given. The results of the work can find application in systems for diagnosing the state and control of technical objects, in systems for making optimal decisions in the field of economics and finance.
Keywords
robust state estimation,
Luenberger observer,
continuous-time Markov chainAuthors
| Perepelkin Evgenii A. | Saint Petersburg State University of Aerospace Instrumentation | eap@list.ru |
Всего: 1
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