Joint filtering of mixed Markov processes in discrete time




An optimal and a quasi-optimal algorithm for filtering mixed Markov processes in discrete time, in which the discrete component is a Markov chain while the continuous component consists of sections of Markov sequences, are synthesized. Using the criterion of minimum a posteriori risk, a Bayes decision rule is obtained for one form of the loss function. The well-known and the quasi-optimal filtering algorithm synthesized here are compared using statistical modeling on a computer.


TIKHONOV, V.I.; KUL'MAN, N.K. Nonlinear Filtering and Quasi-Coherent Signal Reception [in Russian]. Moscow: Sovetskoe Radio, 1975.

KAZAKOV, I.E.; ARTEM'EV, V.M. Optimization of Dynamic Systems with a Random Structure [in Russian]. Moscow: Nauka, 1980.

ACKERSON, C.A.; FU, K. On state estimation in switching environments. IEEE Trans. Automatic Control, v.15, n.1, p.10-17, 1970. doi:

TIKHONOV, V.I.; KHARISOV, V.N.; SMIRNOV, V.A. Optimal filtering of discrete-continuous processes. Radiotekhnika i Elektronika, n.7, p.1441-1457, 1978.

SAGE, ANDREW E.; MELSA, JAMES L. Estimation Theory with Applications to Communications and Control. McGraw-Hill, 1971.

REPIN, V.G.; TARTAKOVSKII, G.P. Statistical Synthesis in the Case of A Priori Ambiguity and Adaptation of Information Systems [in Russian]. Moscow: Sovetskoe Radio, 1977.





Research Articles