Discrete-time linear additive hybrid systems arise in many applications of interest including estimation for systems experiencing unobserved command or disturbance inputs. Optimal conditional mean estimation for these systems generally involves infinite dimensional non-linear filters. In this paper, we instead proposed an optimal minimum variance linear prediction filter. A simulation example is included which highlights the features of these predictors.
['Jason J. Ford']
An optimal linear prediction filter for discrete-time linear additive hybrid systems