A structured filter for Markovian switching systems

In this work, a new methodology for the structuring of multiple model estimation schemas is developed. The proposed filter is applied to the estimation and detection of active mode in dynamic systems. The discrete-time Markovian switching systems represented by several linear models, associated with a particular operating mode, are studied. Therefore, the main idea of this work is the subdivision of the models set to some subsets in order to improve the detection and estimation performances. Each subset is associated with sub-estimators based on models of the subset. In order to compute the global estimate and subset probabilities, a global estimator is proposed. Theoretical developments ba…