[图书][B] Hidden Markov models: estimation and control
RJ Elliott, L Aggoun, JB Moore - 2008 - books.google.com
As more applications are found, interest in Hidden Markov Models continues to grow.
Following comments and feedback from colleagues, students and other working with Hidden …
Following comments and feedback from colleagues, students and other working with Hidden …
[图书][B] Stochastic modelling and applied probability
A Board - 2005 - Springer
During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …
book, considerable progress was achieved in the area of financial modelling and pricing of …
Risk-sensitive control under Markov modulated denial-of-service (DoS) attack strategies
GK Befekadu, V Gupta… - IEEE Transactions on …, 2015 - ieeexplore.ieee.org
We consider the problem of risk-sensitive stochastic control under a Markov modulated
denial-of-service (DoS) attack strategy in which the attacker, using a hidden Markov model …
denial-of-service (DoS) attack strategy in which the attacker, using a hidden Markov model …
Nonlinear filtering revisited: a spectral approach
S Lototsky, R Mikulevicius, BL Rozovskii - SIAM Journal on Control and …, 1997 - SIAM
The objective of this paper is to develop an approach to nonlinear filtering based on the
Cameron--Martin version of Wiener chaos expansion. This approach gives rise to a new …
Cameron--Martin version of Wiener chaos expansion. This approach gives rise to a new …
Event-triggered minimax state estimation with a relative entropy constraint
In this paper, we consider an event-triggered minimax state estimation problem for uncertain
systems subject to a relative entropy constraint. This minimax estimation problem is …
systems subject to a relative entropy constraint. This minimax estimation problem is …
Risk-sensitive control under a class of denial-of-service attack models
GK Befekadu, V Gupta… - Proceedings of the 2011 …, 2011 - ieeexplore.ieee.org
In this paper, we consider the problem of risk-sensitive control under a class of Denial-of-
Service (DoS) attack strategies and derive a solution for the optimal control policy when the …
Service (DoS) attack strategies and derive a solution for the optimal control policy when the …
Approximation of the Kushner equation for nonlinear filtering
K Ito, B Rozovskii - SIAM Journal on Control and Optimization, 2000 - SIAM
In this paper we discuss the well-posedness and approximation of solutions to the Kushner
equation in nonlinear filtering problems. We develop and analyze a time integration method …
equation in nonlinear filtering problems. We develop and analyze a time integration method …
An approximation for the nonlinear filtering problem, with error bound
GB Dl Masi, M Pratelli… - … : An International Journal of …, 1985 - Taylor & Francis
For the standard continuous-time nonlinear filtering problem an approximation approach is
derived. The approximate filter is given by the solution to an appropriate discrete-time …
derived. The approximate filter is given by the solution to an appropriate discrete-time …
Time-reversion of a hybrid state stochastic difference system with a jump-linear smoothing application
HAP Blom, Y Bar-Shalom - IEEE Transactions on Information …, 1990 - ieeexplore.ieee.org
The reversion in time of a stochastic difference equation in a hybrid space with a Markovian
solution is presented. The reversion is obtained by a martingale approach, which previously …
solution is presented. The reversion is obtained by a martingale approach, which previously …
Recursive nonlinear filter for a continuous discrete-time model: separation of parameters and observations
SV Lototsky, BL Rozovskii - IEEE Transactions on Automatic …, 1998 - ieeexplore.ieee.org
A new nonlinear filtering algorithm is proposed for the model where the state is a randomly
perturbed nonlinear dynamical system and the measurements are made at discrete-time …
perturbed nonlinear dynamical system and the measurements are made at discrete-time …