Robust filtering in discrete stochastic systems with jump parameters and interval uncertainty | Vestnik Tomskogo gosudarstvennogo universiteta. Upravlenie, vychislitelnaja tehnika i informatika – Tomsk State University Journal of Control and Computer Science. 2025. № 70. DOI: 10.17223/19988605/70/7

Robust filtering in discrete stochastic systems with jump parameters and interval uncertainty

A robust filtering algorithm for a discrete stochastic system with interval parameters depending of the hidden Markov chain is considered. To represent the interval parameters, a probabilistic approach is used, which is based on the replacement of indeterminate interval-type parameters with independent random variables with a uniform distribution. Recurrent Kalman filtering schemes and algorithms for estimating the state of jump parameter are used. An example is provided to illustrate the proposed approach. Contribution of the authors: the authors contributed equally to this article. The authors declare no conflicts of interests.

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Keywords

robust filtering, interval uncertainty, hidden Markov chain

Authors

Name	Organization	E-mail
Kim Konstantin S.	Tomsk State University	kks93@rambler.ru
Smagin Valery I.	Tomsk State University	vsm@mail.tsu.ru

Всего: 2

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