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Observation Noise-Gain Detection for Markov Chains Observed through scaled Brownian Motion

Bensoussan, Alain; Malcolm, William

Description

In this preliminary article we consider the problem of estimating an unknown noise-gain for a Markov chain observed through a scaled Brownian motion. It is assumed that the unknown noise-gain is time invariant. Two objectives are addressed in this work, 1) compute an estimation scheme that is fast, and 2) compute an estimation scheme without recourse to stochastic integration. To address the first objective we avoid the Expectation Maximization (EM) algorithm, instead we develop an estimation...[Show more]

CollectionsANU Research Publications
Date published: 2008
Type: Conference paper
URI: http://hdl.handle.net/1885/24328
Source: Proceedings of IEEE Conference on Decision and Control 2008
DOI: 10.1109/CDC.2008.4739239

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