Stochastic filtering of Hidden diffusion processes = 가려진 확산과정의 스토캐스틱 필터링

The problem of determining the state of a system from noisy measurements is called estimation, or filtering. It is of central importance in engineering, since state estimates are required in the monitoring, and for the control of systems. In this thesis we consider the filtering problem that the signal process $x_t$ is a 1-dimensional Markov diffusion process and the observation process is of the form $Y_t=x_t$$I_{R\setminus\Gamma}(x_t)$. That is, the signal process is unobservable when it moves behind an obstacle. The filtering equation is derived by using reverse-time diffusion process. Numerical simulations are also presented for the justification of the results.
Advisors
Choi, U-Jinresearcher최우진researcher
Publisher
한국과학기술원
Issue Date
2001
Identifier
166367/325007 / 000945127
Language
eng
Description

학위논문(박사) - 한국과학기술원 : 수학전공, 2001.2, [ vi, 56 p. ]

Keywords

hidden diffusion process; stochastic filtering; 확률과정; 스토캐스틱 필터링; 확산과정; 필터링; stochastic process; filtering

URI
http://hdl.handle.net/10203/41834
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=166367&flag=t
Appears in Collection
MA-Theses_Ph.D.(박사논문)
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