非平稳随机系统的鲁棒Duncan-Mortensen-Zakai方程

2017 International Multi-Conference on Engineering, Computer and Information Sciences (SIBIRCON) Pub Date : 2017-09-01 DOI:10.1109/SIBIRCON.2017.8109858

K. Rybakov

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引用次数: 7

摘要

研究了非平稳随机连续观测模型的最优滤波问题。已知问题的解可以同时使用Duncan-Mortensen-Zakai方程和稳健的Duncan-Mortensen-Zakai方程。本文导出了允许采用粒子法表示漂移、扩散和势函数的鲁棒Duncan-Mortensen-Zakai方程的特殊形式。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Robust Duncan-Mortensen-Zakai equation for non-stationary stochastic systems

The optimal filtering problem for non-stationary stochastic continuous-time observation models is considered. It is known that the problem solution can be found using both the Duncan-Mortensen-Zakai equation and the robust Duncan-Mortensen-Zakai equation. In this paper the special form of the robust Duncan-Mortensen-Zakai equation, where the drift, diffusion, and potential functions are expressed in the way allowing to apply the particle method, is derived.

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来源期刊

2017 International Multi-Conference on Engineering, Computer and Information Sciences (SIBIRCON)

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