The Wonham filter under uncertainty: A game-theoretic approach

DOI10.1016/j.automatica.2011.01.056zbMath1233.93088OpenAlexW1980287042MaRDI QIDQ540194

Andrey V. Borisov

Publication date: 1 June 2011

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2011.01.056

zbMATH Keywords

robust estimationnonlinear observer and filter designoptimization under uncertainties

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Linear-quadratic optimal control problems (49N10) Stochastic games, stochastic differential games (91A15) Duality theory (optimization) (49N15)

Related Items (6)

Application of optimal filtering methods for on-line of queueing network states ⋮ Pathwise stochastic control with applications to robust filtering ⋮ A robust Kalman-Bucy filtering problem ⋮ Robust filtering and propagation of uncertainty in hidden Markov models ⋮ Parameter Uncertainty in the Kalman--Bucy Filter ⋮ Kalman--Bucy Filtering and Minimum Mean Square Estimator under Uncertainty

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