Observation Noise-Gain Detection for Markov Chains Observed through scaled Brownian Motion
dc.contributor.author | Bensoussan, Alain | |
dc.contributor.author | Malcolm, William | |
dc.coverage.spatial | Cancun Mexico | |
dc.date.accessioned | 2015-12-07T22:41:27Z | |
dc.date.available | 2015-12-07T22:41:27Z | |
dc.date.created | December 9-11 2008 | |
dc.date.issued | 2008 | |
dc.date.updated | 2016-02-24T11:54:47Z | |
dc.description.abstract | 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 scheme for a finite number of candidate model hypotheses. To address the second objective we develop a version of the Gauge-Transformation technique introduced by J. M. C. Clark. | |
dc.identifier.isbn | 9781424431243 | |
dc.identifier.uri | http://hdl.handle.net/1885/24328 | |
dc.publisher | Institute of Electrical and Electronics Engineers (IEEE Inc) | |
dc.relation.ispartofseries | IEEE Conference on Decision and Control 2008 | |
dc.source | Proceedings of IEEE Conference on Decision and Control 2008 | |
dc.subject | Keywords: Detection; Filtering; Martingales; Reference probability; Wonham filter; Brownian movement; Markov processes; Estimation Detection; Filtering; Martingales; Reference probability; Wonham filter | |
dc.title | Observation Noise-Gain Detection for Markov Chains Observed through scaled Brownian Motion | |
dc.type | Conference paper | |
local.contributor.affiliation | Bensoussan, Alain, University of Texas | |
local.contributor.affiliation | Malcolm, William, College of Physical and Mathematical Sciences, ANU | |
local.contributor.authoremail | repository.admin@anu.edu.au | |
local.contributor.authoruid | Malcolm, William, u3881226 | |
local.description.notes | Imported from ARIES | |
local.description.refereed | Yes | |
local.identifier.absfor | 080202 - Applied Discrete Mathematics | |
local.identifier.ariespublication | u9209279xPUB31 | |
local.identifier.doi | 10.1109/CDC.2008.4739239 | |
local.identifier.scopusID | 2-s2.0-62949233371 | |
local.identifier.uidSubmittedBy | u9209279 | |
local.type.status | Published Version |