Reduced-order filtering of jump Markov systems with noise-free measurements (Q5942729)

This work presents a reduced-order filtering approach to a continuous-time state estimation problem for jump Markov parameter systems with noise-free measurements. The filter proposed in the paper does not have a nonsingularity requirement and its order is less than the dimension of the measurement vector. The finite-time optimal filter equations are derived. A characterization of all assignable covariances and a parametrization of all observer gains that will achieve such covariances in the steady state are presented.