NUMERICAL SCHEMES OF MARKOV JUMP PROCESS FILTERING GIVEN DISCRETIZED OBSERVATIONS III: MULTIPLICATIVE NOISES CASEстатья
Статья опубликована в журнале из списка RSCI Web of Science
Информация о цитировании статьи получена из
Scopus
Статья опубликована в журнале из перечня ВАК
Статья опубликована в журнале из списка Web of Science и/или Scopus
Дата последнего поиска статьи во внешних источниках: 8 января 2021 г.
Аннотация:The paper presents the final part of investigations initialized in the papers Borisov, A. 2019. Numerical
schemes of Markov jump process filtering given discretized observations I: Accuracy characteristics. Inform. Appl.
13(4):68–75 and Borisov, A. 2020. Numerical schemes of Markov jump process filtering given discretized
observations II: Multiplicative noises case. Inform. Appl. 14(1):17–23. Relying on the theoretical results, this paper
presents a numerical algorithm of the state filtering of homogeneous Markov jump processes (MJP) given indirect
noisy continuous time observations discretized by time. The class of observation systems under consideration is
restricted by ones with multiplicative noises: any additive payload component is absent in the observable signal, but
the observation noise intensity is a function of the MJP state under estimation. To calculate the integrals in the
estimate, the author uses the composite midpoint rule of the precision order 3, along with the composite midpoint
rule for triangles of the precision order 4. The constructed numerical algorithms of filtering have the final precision
of the orders 1 and 2.