A linear distributed filter inspired by the Markovian jump linear system filtering problem. (English) Zbl 1269.93122
Summary: In this paper we introduce a consensus-based distributed filter, executed by a sensor network, inspired by the Markovian jump linear system filtering theory. We show that the optimal filtering gains of the Markovian jump linear system can be used as an approximate solution of the optimal distributed filtering problem. This parallel allows us to interpret each filtering gain corresponding to a mode of operation of the Markovian jump linear system as a filtering gain corresponding to a sensor in the network. The approximate solution can be implemented distributively and guarantees a quantifiable level of performance.
MSC:
| 93E11 | Filtering in stochastic control theory |
| 60J75 | Jump processes (MSC2010) |
| 93C05 | Linear systems in control theory |
References:
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