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

Sze Yong, Minghui Zhu, Emilio Frazzoli

Research output: Contribution to journalConference article

9 Citations (Scopus)

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)
Article number7039914
Pages (from-to)3388-3394
Number of pages7
JournalProceedings of the IEEE Conference on Decision and Control
Volume2015-February
Issue numberFebruary
DOIs
StatePublished - Jan 1 2014
Externally publishedYes
Event2014 53rd IEEE Annual Conference on Decision and Control, CDC 2014 - Los Angeles, United States
Duration: Dec 15 2014Dec 17 2014

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Linear Stochastic Systems
Unknown Inputs
Stochastic systems
Multiple Models
Likelihood Function
Innovation
Optimal Filter
Gaussian White Noise
State Estimation
Driver
Dynamic Model
Intersection
State estimation
White noise
Simulation
Model

ASJC Scopus subject areas

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

Cite this

Generalized innovation and inference algorithms for hidden mode switched linear stochastic systems with unknown inputs. / Yong, Sze; Zhu, Minghui; Frazzoli, Emilio.

In: Proceedings of the IEEE Conference on Decision and Control, Vol. 2015-February, No. February, 7039914, 01.01.2014, p. 3388-3394.

Research output: Contribution to journalConference article

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