Threshold aggregation of the three-graded rankings
Automation and Remote Control
Brief paper: The Wonham filter under uncertainty: A game-theoretic approach
Automatica (Journal of IFAC)
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Minimax filtration of a process in a stochastic linear differential system with uncertain perturbation intensities for dynamics and observation models is studied. The filter is optimized by an integral quality criterion. Minimax filtering equations are derived from the solution of the dual optimization problem. A numerical filter designing method is described and its convergence is proved. Results of numerical experiments are given.