Finite Horizon Robust State Estimation for Uncertain Finite-Alphabet Hidden Markov Models with Conditional Relative Entropy Constraints

DOI10.1137/040611379MaRDI QIDQ3614802zbMATH OpenOpenAlexFDO

Authors Li Xie, Valery Ugrinovskii, Ian R. Petersen

Publication date 10 March 2009

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/040611379

zbMATH Keywords

conditional relative entropy constraintsfinite horizonfinite-alphabet hidden Markov modelsrobust state estimation

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Stochastic systems in control theory (general) (93E03) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11)

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