The Wonham filter under uncertainty: A game-theoretic approach

DOI10.1016/J.AUTOMATICA.2011.01.056MaRDI QIDQ540194zbMATH OpenOpenAlexFDO

Authors Andrey V. Borisov

Publication date 1 June 2011

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.automatica.2011.01.056

zbMATH Keywords

nonlinear observer and filter designoptimization under uncertaintiesrobust estimation

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Duality theory (optimization) (49N15) Stochastic games, stochastic differential games (91A15) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11)

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Cited in

(9)

• Robust filtering and propagation of uncertainty in hidden Markov models
• A robust Kalman-Bucy filtering problem
• Pathwise stochastic control with applications to robust filtering
• Application of optimal filtering methods for on-line of queueing network states
• Kalman-Bucy filtering and minimum mean square estimator under uncertainty
• Parameter uncertainty in the Kalman-Bucy filter
• A Nash equilibrium filter
• Minimax estimation in systems of observation with Markovian chains by integral criterion
• Analysis of algorithms of numerical implementations for the Wonham filter under uncertainty in measurements noise covariance

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