Article ID Journal Published Year Pages File Type
720771 IFAC Proceedings Volumes 2007 6 Pages PDF
Abstract

The paper investigates a filtering/identification problem of finite-state Markov processes given continuous and/or counting observations. All the transition intensity matrix, observation plan and counting intensity are parameterized by a random vector with uncertain distribution belonging to a known class. An assertion concerning existence of saddle point in the considered minimax optimization problem as well as a form of corresponding estimate is presented. Monitoring of TCP link status under uncertainty is proposed as an illustrative numerical example of application of obtained theoretical results.

Related Topics
Physical Sciences and Engineering Engineering Computational Mechanics
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