Communication Dans Un Congrès Année : 2008

Exact filtering in semi-Markov jumping system

Résumé

The classical hidden linear Gaussian system allows one to use the classical Kalman filter, which calculates some distributions of interest with linear complexity in number of observations. However, such calculations become impossible when adding a Markov jump process. The aim of the paper is to propose two new hidden models with Markov and semi-Markov jump processes in which the exact computation of the Kalman filter is feasible with linear complexity in number of observations

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hal-01394350 , version 1 (09-11-2016)

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Noufel Abbassi, Wojciech Pieczynski. Exact filtering in semi-Markov jumping system. ICCMSE 2008 : 6th International Conference of Computational Methods in Sciences and Engineering, Sep 2008, Hersonissos, Greece. ⟨10.1063/1.3225273⟩. ⟨hal-01394350⟩
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