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Avtomatika i Telemekhanika, 2006, Issue 3, Pages 77–93
(Mi at1152)
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This article is cited in 2 scientific papers (total in 2 papers)
Stochastic Systems
Minimax filtering in linear stochastic uncertain discrete-continuous systems
G. B. Miller, A. R. Pankov Moscow Aviation Institute (State University of Aerospace Technologies)
Abstract:
Filtering of the states of a system, whose dynamics is defined by an Ito stochastic differential equation, by discrete and discrete-continuous observations is studied under the assumption that the intensities of continuous noises and covariance matrices of discrete noises are known only within to membership of certain uncertainty sets. A minimax approach is used to solve the problem. The filter is optimized with an integral quality criterion. Minimax filtering equations are derived from the solution of the dual optimization problem. A numerical solution algorithm for the problem is designed. Results of numerical experiments are presented.
Citation:
G. B. Miller, A. R. Pankov, “Minimax filtering in linear stochastic uncertain discrete-continuous systems”, Avtomat. i Telemekh., 2006, no. 3, 77–93; Autom. Remote Control, 67:3 (2006), 413–427
Linking options:
https://www.mathnet.ru/eng/at1152 https://www.mathnet.ru/eng/at/y2006/i3/p77
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Abstract page: | 277 | Full-text PDF : | 122 | References: | 31 | First page: | 1 |
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