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Simultaneous System Identification And Decision-Directed Detection And Estimation Of Jump Inputs To Linear Systems, Wynn C. Stirling
Simultaneous System Identification And Decision-Directed Detection And Estimation Of Jump Inputs To Linear Systems, Wynn C. Stirling
Faculty Publications
A decision-directed approach is presented for analyzing linear systems with unknown jump inputs. The system model parameters are estimated using a Kalman filter, and an empirical Bayes detection procedure is introduced to set the detector parameters, resulting in a decision-directed generalized likelihood ratio test coupled with recursive system parameter estimation. Monte Carlo results are presented to validate the performance of the algorithm.