Filtering Problem for Discrete Volterra Equations with Combined Disturbances
| Authors: | Matasov Alexander, M.V. Lomonosov Moscow State University, Russian Federation
Bashkov Alexander, Moscow Aviation Institute, Russian Federation
De Nicolao Giuseppe, University of Pavia, Italy
Kolmanovskii Vladimir, Moscow Institute of Electronics and Mathematics, Russian Federation |
|---|
| Topic: | 1.4 Stochastic Systems |
|---|
| Session: | Linear and Nonlinear Filtering in Stochastic Systems |
|---|
| Keywords: | discrete-time systems, filtering problem, duality |
|---|
Abstract
A minimax filtering problem for discrete Volterra equations with combined noise models is considered.The combined models are defined as the sums of uncertain bounded deterministic functions and stochastic white noises. However the corresponding variational problem turns out to be very difficult for direct solution. Therefore simplified filtering algorithms are developed. The levels of nonoptimality for these simplified algorithms are introduced. In opposite to the original variational problem, these levels can be easily evaluated numerically. Thus simple filtering algorithms with guaranteed performance areobtained. Numerical experiments confirm the efficiency of our approach.
