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

DOI10.1137/040611379zbMath1157.93036OpenAlexW2104601907MaRDI QIDQ3614802

Valery A. Ugrinovskii, Li Xie, 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

finite horizonrobust state estimationconditional relative entropy constraintsfinite-alphabet hidden Markov models

Mathematics Subject Classification ID

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

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