Generalized innovation and inference algorithms for hidden mode switched linear stochastic systems with unknown inputs

Sze Zheng Yong, Minghui Zhu, Emilio Frazzoli

Research output: Chapter in Book/Report/Conference proceedingConference contribution

11 Scopus citations

Abstract

In this paper, we propose inference algorithms for simultaneously estimating the mode, input and state of hidden mode switched linear stochastic systems with unknown inputs. First, we define the generalized innovation for the recently proposed optimal filter for simultaneous input and state estimation [1] and show that the sequence is a Gaussian white noise. Then, we utilize this whiteness property of the generalized innovation, which reflects the estimation quality to form the likelihood function of the system model. Consequently, we employ the multiple model (MM) approach based on the likelihood function for inferring the hidden mode of switched linear stochastic systems. Algorithms for both static and dynamic MM estimation are presented and compared using a simulation example of vehicles at an intersection with switching driver intentions.

Original languageEnglish (US)
Title of host publication53rd IEEE Conference on Decision and Control,CDC 2014
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages3388-3394
Number of pages7
EditionFebruary
ISBN (Electronic)9781479977468
DOIs
StatePublished - 2014
Event2014 53rd IEEE Annual Conference on Decision and Control, CDC 2014 - Los Angeles, United States
Duration: Dec 15 2014Dec 17 2014

Publication series

NameProceedings of the IEEE Conference on Decision and Control
NumberFebruary
Volume2015-February
ISSN (Print)0743-1546
ISSN (Electronic)2576-2370

Other

Other2014 53rd IEEE Annual Conference on Decision and Control, CDC 2014
Country/TerritoryUnited States
CityLos Angeles
Period12/15/1412/17/14

All Science Journal Classification (ASJC) codes

  • Control and Systems Engineering
  • Modeling and Simulation
  • Control and Optimization

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