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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
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.
Received: 11.10.2019
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
Linking options:
https://www.mathnet.ru/eng/ia640 https://www.mathnet.ru/eng/ia/v14/i1/p17
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Abstract page: | 170 | Full-text PDF : | 52 | References: | 25 |
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