Conditionally-minimax filtration in a system with commutating observation channels (Q1285407)
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English | Conditionally-minimax filtration in a system with commutating observation channels |
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Conditionally-minimax filtration in a system with commutating observation channels (English)
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8 August 1999
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A finite-dimensional nonlinear filtering algorithm is investigated for a stochastic difference observation system in which measurements come from various channels and channel-to-channel switchings are described by a nonstationary Markov chain. The algorithm is based on the conditionally-minimax nonlinear filtering technique. A filter is constructed by properly choosing certain conditionally-minimax nonlinear filtering structural functions inheriting the structure of the mean-square optimal filtering algorithm. The construction of a conditionally-minimax nonlinear filter is described for a nonlinear observation system in which measurements arrive from different channels. The accuracy of the method is experimentally evaluated.
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nonlinear filtration
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nonstationary Markov chain
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stochastic difference system
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parameter identification
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switching in observations
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