Minimax linear filtering of random sequences with uncertain covariance function

DOI10.1134/S0005117916020028zbMath1346.93380MaRDI QIDQ315113

K. V. Semenikhin

Publication date: 19 September 2016

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

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Control/observation systems with incomplete information (93C41) Estimation and detection in stochastic control theory (93E10)

Related Items (4)

The conditionally minimax nonlinear filtering method and modern approaches to state estimation in nonlinear stochastic systems ⋮ Pathwise stochastic control with applications to robust filtering ⋮ Robust filtering and propagation of uncertainty in hidden Markov models ⋮ Parameter Uncertainty in the Kalman--Bucy Filter

Uses Software

• CVX

Cites Work

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