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[02315] On Adaptive Kalman Filtration Cancelled

  • Session Time & Room : 3D (Aug.23, 15:30-17:10) @E504
  • Type : Contributed Talk
  • Abstract : We consider a linear partially observed system. The coefficients of this system depend on some finite - dimensional unknown parameter. We study the problems of the construction of adaptive Kalman filtration equations. The adaptive filter is constructed in two steps. First we propose a preliminary estimator using observations on a relatively small interval of observations. Then this estimator is used for construction of One-step MLE-process. Finally the last estimator allows us to construct an adaptive recurrent filter.
  • Classification : 62M05, 62M20, 62F12, 62G20
  • Format : Talk at Waseda University
  • Author(s) :
    • Yury Kutoyants (Le Mans University )