DocumentCode
3123240
Title
Optimal Filtering for HMM Governed by Special Jump Processes
Author
Borisov, Andrey V. ; Stefanovich, Alexey I.
Author_Institution
Institute of Informatics Problems of the Russian Academy of Sciences, 44/2 Vavilova st., 119333, Moscow, Russia, ABorisov@ipiran.ru
fYear
2005
fDate
12-15 Dec. 2005
Firstpage
5935
Lastpage
5940
Abstract
The paper presents a solution of optimal filtering problem for stochastic differential systems of random structure with switches generated by a special class of Markov jump processes. The equations for both the conditional expectation of some signal process given a noisy observation, and conditional probability density function (pdf) are obtained. Numerical methods for solution of corresponding Fokker-Plank and Zakai equation analogues are given and illustrated by an example.
Keywords
Filtering; Filters; Hidden Markov models; Markov processes; Nonlinear equations; Probability density function; Signal processing; State-space methods; Stochastic systems; Switches;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 2005 and 2005 European Control Conference. CDC-ECC '05. 44th IEEE Conference on
Print_ISBN
0-7803-9567-0
Type
conf
DOI
10.1109/CDC.2005.1583111
Filename
1583111
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