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Informatika i Ee Primeneniya [Informatics and its Applications], 2020, Volume 14, Issue 1, Pages 17–23
DOI: https://doi.org/10.14357/19922264200103
(Mi ia640)
 

This article is cited in 7 scientific papers (total in 7 papers)

Numerical schemes of Markov jump process filtering given discretized observations II: Additive noise case

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 (191 kB) Citations (7)
References:
Abstract: The note is a sequel of investigations initialized in the article Borisov, A. 2019. Numerical schemes of Markov jump process filtering given discretized observations I: Accuracy characteristics. Inform. Appl. 13(4):68–75. The basis is the accuracy characteristics of the approximated solution of the filtering problem for the state of homogeneous Markov jump processes given the continuous indirect noisy observations. The paper presents a number of the algorithms of their numerical realization together with the comparative analysis. The class of observation systems under investigation is bounded by ones with additive observation noises. This presumes that the observation noise intensity is a nonrandom constant. To construct the approximation, the authors use the left and midpoint rectangle rule of the accuracy order 2 and 3, respectively, and the Gaussian quadrature of the order 5. Finally, the presented numerical schemes have the accuracy of the order 1/2, 1, and 2.
Keywords: Markov jump process, optimal filtering, additive and multiplicative observation noises, stochastic differential equation, analytical and numerical approximation.
Funding agency Grant number
Russian Foundation for Basic Research 19-07-00187_а
The work was supported in part by the Russian Foundation for Basic Research (Project No. 19-07-00187 A).
Received: 11.10.2019
Document Type: Article
Language: Russian
Citation: A. V. Borisov, “Numerical schemes of Markov jump process filtering given discretized observations II: Additive noise case”, Inform. Primen., 14:1 (2020), 17–23
Citation in format AMSBIB
\Bibitem{Bor20}
\by A.~V.~Borisov
\paper Numerical schemes of~Markov jump process filtering given discretized observations II:~Additive noise case
\jour Inform. Primen.
\yr 2020
\vol 14
\issue 1
\pages 17--23
\mathnet{http://mi.mathnet.ru/ia640}
\crossref{https://doi.org/10.14357/19922264200103}
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  • This publication is cited in the following 7 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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