{"title":"Robust Duncan-Mortensen-Zakai equation for non-stationary stochastic systems","authors":"K. Rybakov","doi":"10.1109/SIBIRCON.2017.8109858","DOIUrl":null,"url":null,"abstract":"The optimal filtering problem for non-stationary stochastic continuous-time observation models is considered. It is known that the problem solution can be found using both the Duncan-Mortensen-Zakai equation and the robust Duncan-Mortensen-Zakai equation. In this paper the special form of the robust Duncan-Mortensen-Zakai equation, where the drift, diffusion, and potential functions are expressed in the way allowing to apply the particle method, is derived.","PeriodicalId":135870,"journal":{"name":"2017 International Multi-Conference on Engineering, Computer and Information Sciences (SIBIRCON)","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2017-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"7","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"2017 International Multi-Conference on Engineering, Computer and Information Sciences (SIBIRCON)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/SIBIRCON.2017.8109858","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 7
Abstract
The optimal filtering problem for non-stationary stochastic continuous-time observation models is considered. It is known that the problem solution can be found using both the Duncan-Mortensen-Zakai equation and the robust Duncan-Mortensen-Zakai equation. In this paper the special form of the robust Duncan-Mortensen-Zakai equation, where the drift, diffusion, and potential functions are expressed in the way allowing to apply the particle method, is derived.
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