Parameter uncertainty in the Kalman-Bucy filter

DOI10.1137/18M1167693zbMATH Open1420.62407WikidataQ127872794 ScholiaQ127872794MaRDI QIDQ5232198FDOQ5232198

Authors: Andrew L. Allan, Samuel N. Cohen 

Publication date: 30 August 2019

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

Abstract: In standard treatments of stochastic filtering one first has to estimate the values of the parameters of the model. Simply running the filter without considering the reliability of this estimate does not take into account this additional source of statistical uncertainty. We propose an approach to address this problem when working with the continuous-time Kalman-Bucy filter. We show how our approach may be reformulated as an optimal control problem, and proceed to analyse the corresponding value function in some detail. In particular we present a novel uniqueness result for the associated Hamilton-Jacobi-Bellman equation.

Full work available at URL: https://arxiv.org/abs/1710.02046

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zbMATH Keywords

HJB equationoptimal controlKalman-Bucy filterparameter uncertaintynonlinear expectation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Parametric inference and fuzziness (62F86) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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• Robust filtering and propagation of uncertainty in hidden Markov models
• A filtering problem with uncertainty in observation
• Pathwise stochastic control with applications to robust filtering
• Predictability and unpredictability in Kalman filtering
• Title not available (Why is that?)
• A robust Kalman-Bucy filtering problem
• Parameter estimation for kalman-bucy filter with small noise

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