The interacting multiple model algorithm for systems with Markovian switching coefficients

1988/01/01 by H.A.P. Blom, Y. Bar-Shalom, Yaakov Bar‐Shalom · 43 citations
Computer Science · Engineering · #Target Tracking and Data Fusion in Sensor Networks #Fault Detection and Control Systems #Bayesian Modeling and Causal Inference

paper · doi:10.1109/9.1299

Abstract

An important problem in filtering for linear systems with Markovian switching coefficients (dynamic multiple model systems) is the management of hypotheses, which is necessary to limit the computational requirements. A novel approach to hypotheses merging is presented for this problem. The novelty lies in the timing of hypotheses merging. When applied to the problem of filtering for a linear system with Markovian coefficients, the method is an elegant way to derive the interacting-multiple-model (IMM) algorithm. Evaluation of the IMM algorithm shows that it performs well at a relatively low computational load. These results imply a significant change in the state of the art of approximate Bayesian filtering for systems with Markovian coefficients.< <ETX xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">&gt;</ETX>

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