跳跃扩散随机过程最优滤波的最大截面法

2019 15th International Asian School-Seminar Optimization Problems of Complex Systems (OPCS) Pub Date : 2019-08-01 DOI:10.1109/OPCS.2019.8880234

T. Averina, K. Rybakov

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引用次数: 4

摘要

研究了数学模型包含复合泊松过程的随机微分方程的动力系统中随机过程的最优滤波问题。采用粒子法和最大截面法进行最优滤波。

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Maximum Cross Section Method in Optimal Filtering of Jump-Diffusion Random Processes

The paper deals with the optimal filtering problem for random processes in dynamical systems whose mathematical models include stochastic differential equations with a compound Poisson process. The particle method and the maximum cross section method are applied for optimal filtering.

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来源期刊

2019 15th International Asian School-Seminar Optimization Problems of Complex Systems (OPCS)

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