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Informatika i Ee Primeneniya [Informatics and its Applications], 2017, Volume 11, Issue 2, Pages 33–41
DOI: https://doi.org/10.14357/19922264170204
(Mi ia469)
 

This article is cited in 2 scientific papers (total in 2 papers)

Classification by continuous-time observations in multiplicative noise II: numerical algorithm

A. V. Borisov

Institute of Informatics Problems, Federal Research Center “Computer Science and Control” of the Russian Academy of Sciences, 44-2 Vavilov Str., Moscow 119333, Russian Federation
Full-text PDF (373 kB) Citations (2)
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Abstract: This is the second part of the paper “Classification by continuous-time observations in multiplicative noise I: Formulae for Bayesian estimate” published in “Informatics and Applications,” 2017, 11(1). Investigations are aimed at estimation of a finite-state random vector given continuous-time noised observations. The key feature is that the observation noise intensity is a function of the estimated vector, which makes useless the known results in the optimal filtering. In the first part of the paper, the required estimate is obtained both in the explicit integral form and as a solution to a stochastic differential system with some jump processes in the right-hand side. The second part contains a numerical algorithm of the estimate approximate calculation together with its accuracy analysis. An example illustrating the performance of the proposed estimate is also presented.
Keywords: optimal filtering; identifiability; recursive scheme; approximation order; time discretization.
Funding agency Grant number
Russian Foundation for Basic Research 16-07-00677_а
15-37-20611_мол_а_вед
The work was supported in part by the Russian Foundation for Basic Research (projects Nos. 15-37-20611 and 16-07-00677).
Received: 19.12.2016
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: A. V. Borisov, “Classification by continuous-time observations in multiplicative noise II: numerical algorithm”, Inform. Primen., 11:2 (2017), 33–41
Citation in format AMSBIB
\Bibitem{Bor17}
\by A.~V.~Borisov
\paper Classification by continuous-time observations in multiplicative noise II: numerical algorithm
\jour Inform. Primen.
\yr 2017
\vol 11
\issue 2
\pages 33--41
\mathnet{http://mi.mathnet.ru/ia469}
\crossref{https://doi.org/10.14357/19922264170204}
\elib{https://elibrary.ru/item.asp?id=29426140}
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  • This publication is cited in the following 2 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    Информатика и её применения
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    References:36
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