Informatics and Applications
2021, Volume 15, Issue 3, pp 9-15
FILTERING OF MARKOV JUMP PROCESSES GIVEN COMPOSITE OBSERVATIONS II: NUMERICAL ALGORITHM
- A. V. Borisov
- D. Kh. Kazanchyan
Abstract
The note represents the second, final part of the series initiated by the article Borisov, A., and
D. Kazanchyan. 2021. Filtering of Markov jump processes given composite observations I: Exact solution. Informatika i ee primeneniya - Inform. Appl. 15(2):12-19. The authors propose a new numerical algorithm of the optimal state estimation for the Markov jump processes given observable both the counting processes and the diffusion ones with the multiplicative noises. The authors approximate the initial continuous-time estimation problem by a sequence of the corresponding filtering problems given the time-discretized observations. The paper contains the explicit recursive form of the discretized estimate and introduces its one-step precision characteristic along with dependence of the characteristics on the utilized numerical estimation scheme.
[+] References (9)
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[+] About this article
Title
FILTERING OF MARKOV JUMP PROCESSES GIVEN COMPOSITE OBSERVATIONS II: NUMERICAL ALGORITHM
Journal
Informatics and Applications
2021, Volume 15, Issue 3, pp 9-15
Cover Date
2021-09-30
DOI
10.14357/19922264210302
Print ISSN
1992-2264
Publisher
Institute of Informatics Problems, Russian Academy of Sciences
Additional Links
Key words
Markov jump process; optimal filtering; multiplicative observation noises; time-discretized observations; approximation precision
Authors
A. V. Borisov  ,  ,  and D. Kh. Kazanchyan 
Author Affiliations
Institute of Informatics Problems, Federal Research Center "Computer Science and Control" of the Russian Academy of Sciences, 44-2 Vavilov Str., Moscow 119333, Russian Federation
Moscow Aviation Institute (National Research University), 4 Volokolamskoe Shosse, Moscow 125080, Russian Federation
Moscow Center for Fundamental and Applied Mathematics, M. V. Lomonosov Moscow State University, 1 Leninskie Gory, GSP-1, Moscow 119991, Russian Federation
Department of Mathematical Statistics, Faculty of Computational Mathematics and Cybernetics, M. V. Lomonosov Moscow State University, 1-52 Leninskie Gory, GSP-1, Moscow 119991, Russian Federation
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