Minimax filter for statistically indeterminate stochastic differential system

Authors:	Miller Gregory, Moscow Aviation Institute; Institute of Informatics Problems, Russian Federation Pankov Alexey, Moscow Aviation Institute, Russian Federation
Topic:	1.4 Stochastic Systems
Session:	Linear and Nonlinear Filtering in Stochastic Systems
Keywords:	Stochastic systems, Optimal filtering, Minimax techniques

Abstract

The linear stochastic differential system with uncertain intensity of noises in dynamics and observations is considered. For this system the minimax filtering procedure is proposed. The filter is optimal in terms of integral criterion. The obtained filtering equations depend on the dual optimization problem solution, which can be obtained by means of provided numerical procedure. The convergence of the numerical procedure is also considered. Some numerical results are described.