\(\mathcal{L}_1 \)-optimal filtering of Markov jump processes. I: Exact solution and numerical implementation schemes

DOI10.1134/S0005117920110016zbMath1455.60063OpenAlexW3111852468MaRDI QIDQ2229525

Yanyan Li

Publication date: 18 February 2021

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0005117920110016

zbMATH Keywords

Markov jump processlocal and global accuracy of approximationstable numerical solution algorithm

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Signal detection and filtering (aspects of stochastic processes) (60G35) Jump processes on general state spaces (60J76)

Related Items (2)

\( \mathcal{L}_1\)-optimal filtering of Markov jump processes. III: Identification of system parameters ⋮ \(\mathcal{L}_1 \)-optimal filtering of Markov jump processes. II: Numerical analysis of particular realizations schemes

Uses Software

• UNCMND
• pchip

Cites Work

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