Analysis on the Performance and Properties of Interacting Multiple Models Algorithm
Yan Liang, Cheng Yong-mei · Control theory & applications · 2001
There is less nonsimulation analysis of markov transition probability (MTP) of switching multiple model estimation (SMME), which may be helpful to provide good insight into the essence of SMME, supply some rules for parameter design and develop more adaptive multiple model estimators. This paper presents a nonsimulation method to analysis MTP matrix with \%m\% prameters (\$m\$ is the model number) of interacting multiple model (IMM) estimator, which is well known in SMM. Several conclusions, independent of scenarios and model conditional filters, are given. Part of the analysis is also suitable for one order gereralized pseudo Bayesian (GPB1).\;