This paper is concerned with the optimal linear estimation for a class of direct-time Markov jump systems with missing observations. An observer-based approach of fault detection and isolation (FDI) is investigated as a detection mechanic of fault case. For systems with known information, a conditional prediction of observations is applied and fault observations are replaced and isolated; then, an FDI linear minimum mean square error estimation (LMMSE) can be developed by comprehensive utilizing of the correct information offered by systems. A recursive equation of filtering based on the geometric arguments can be obtained. Meanwhile, a stability of the state estimator will be guaranteed under appropriate assumption.
"Optimal State Estimation for Discrete-Time Markov Jump Systems with Missing Observations." Abstr. Appl. Anal. 2014 (SI63) 1 - 11, 2014. https://doi.org/10.1155/2014/568252