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Avtomatika i Telemekhanika, 2016, Issue 2, Pages 115–141
(Mi at14390)
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This article is cited in 7 scientific papers (total in 7 papers)
Topical issue
Application of optimal filtering methods for on-line of queueing network states
A. V. Borisov Institute of Informatics Problems, Federal Research Center "Computer Sciences and Control", Russian Academy of Sciences, Moscow, Russia
Abstract:
We show the solution to the optimal filtering problem for states of Markov jump processes by observations of multivariant point processes. A characteristic feature of observations is that their compensators are random linear functions of the system state, and the composite "state–observations" process does not possess the Markov property. The provided optimal filtering estimate is expressed via the solution of some recurrent system of linear differential equations and algebraic relations. We present examples of using theoretical results to construct typical models of real queueing networks. We establish the connections between our new optimal filtering algorithm and classical results of Kalman–Bucy and Wonham. We propose a solution for the problem of estimating the current state of a UDP connection given the observations of video stream.
Citation:
A. V. Borisov, “Application of optimal filtering methods for on-line of queueing network states”, Avtomat. i Telemekh., 2016, no. 2, 115–141; Autom. Remote Control, 77:2 (2016), 277–296
Linking options:
https://www.mathnet.ru/eng/at14390 https://www.mathnet.ru/eng/at/y2016/i2/p115
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Statistics & downloads: |
Abstract page: | 318 | Full-text PDF : | 77 | References: | 44 | First page: | 26 |
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