Adaptive estimation for a linear system with interrupted observation
Yoshikazu SAWARAGI, Tohru Katayama, Satoru Fujishige · IEEE Transactions on Automatic Control · 1973
This short paper is concerned with the Bayesian estimation problem for a linear system with the interrupted observation mechanism that is expressed in terms of the stationary two-state Markov chain with unknown transition probabilities. Derived is the approximate minimum variance adaptive estimator algorithm coupled with the estimation of the unknown transition probabilities.