The Wonham filter under uncertainty: A game–theoretic approach |
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Authors: | Andrey V Borisov [Author vitae] |
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Affiliation: | aInstitute of Informatics Problems, Russian Academy of Sciences, 44/2 Vavilova st., 119333, Moscow, Russia |
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Abstract: | The paper is devoted to a state filtering problem of Markov jump processes given the continuous and/or counting observations. All the transition intensity matrix, observation plan and counting intensity are parameterized by a random vector with uncertain distribution on a known support set.The estimation problem is formulated in minimax settings with a conditional optimality criterion. We reduce the initial minimax problem to a dual problem of constrained quadratic optimization. The corresponding numerical algorithm of minimax filtering is presented as well as its illustrative implementation in the monitoring of a TCP link status under uncertainty. |
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Keywords: | Optimization under uncertainties Robust estimation Nonlinear observer and filter design |
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