Invariance of State Estimate for a Finite Markov Chain with Discrete Time

被引：0

作者：

Perepelkin, E. A. ^{[1
]}

机构：

[1] St Petersburg State Univ Aerosp Instrumentat, St Petersburg 190000, Russia

来源：

OPTOELECTRONICS INSTRUMENTATION AND DATA PROCESSING | 2021年 / 57卷 / 06期

关键词：

Markov chain; state estimate; Luenberger observer; invariance;

D O I：

10.3103/S875669902106011X

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

This study is devoted to solution of the problem of construction of the state estimate for a finite Markov chain with discrete time. The Markov chain is considered as a linear dynamic system with incomplete state information. The state estimate is constructed based on the Luenberger observer. The conditions of invariance of the state estimate to perturbations of transition probabilities in the Markov chain are obtained. A numerical example is considered.

引用

页码：626 / 631

页数：6

共 7 条

[1]

[Anonymous], 2008, HIDDEN MARKOV MODELS

[2]

Ching WK, 2006, INT SER OPER RES MAN, P1

[3] Observer and control design in partially observable finite Markov chains [J].

Clempner, Julio B. ;

Poznyak, Alexander S. .

AUTOMATICA, 2019, 110

[4]

Gantmakher F. R., 2010, THEORY MATRICES

[5] Recursive filters for partially observable finite Markov chains [J].

Ledoux, J .

JOURNAL OF APPLIED PROBABILITY, 2005, 42 (03) :684-697

[6] ROBUST STATE OBSERVER OF CONTINUES-TIME INHOMOGENEOUS MARKOV CHAIN [J].

Perepelkin, E. A. .

VESTNIK TOMSKOGO GOSUDARSTVENNOGO UNIVERSITETA-UPRAVLENIE VYCHISLITELNAJA TEHNIKA I INFORMATIKA-TOMSK STATE UNIVERSITY JOURNAL OF CONTROL AND COMPUTER SCIENCE, 2021, (54) :74-79

[7]

Streits V., 1985, METHOD STATE SPACE T

← 1 →