Conditionally-minimax filtration in a system with commutating observation channels

MaRDI QIDQ1285407zbMATH OpenFDO

Authors A. V. Bosov, A. P. Pankov

Publication date 8 August 1999

Published in Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

nonlinear filtrationnonstationary Markov chainparameter identificationstochastic difference systemswitching in observations

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Nonlinear systems in control theory (93C10) Discrete-time control/observation systems (93C55) Filtering in stochastic control theory (93E11)

Review text

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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(6)

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• The conditionally minimax nonlinear filtering method and modern approaches to state estimation in nonlinear stochastic systems
• Finite-dimensional recurrent algorithms for optimal nonlinear logical-dynamical filtering
• Optimal recurrent logical-dynamical finite memory filter
• Conditionally minimax algorithms of estimation and control for nonlinear stochastic systems
• An optimal recurrent logical-dynamical filter of a high order and its covariance approximations

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