Name
Abstract | ||
|---|---|---|
Filtering and smoothing with a generalized representation of uncertainty is considered. Here, uncertainty is represented using a class of outer measures. It is shown how this representation of uncertainty can be propagated using outer-measure-type versions of Markov kernels and generalized Bayesian-like update equations. This leads to a system of generalized smoothing and filtering equations where integrals are replaced by supremums and probability density functions are replaced by positive functions with supremum equal to one. Interestingly, these equations retain most of the structure found in the classical Bayesian filtering framework. It is additionally shown that the Kalman filter recursion can be recovered from weaker assumptions on the available information on the corresponding hidden Markov model. |
Year | DOI | Venue |
|---|---|---|
2018 | 10.1137/17m1124383 | SIAM/ASA J. Uncertain. Quantification |
Field | DocType | Volume |
Applied mathematics,Markov chain,Filter (signal processing),Infimum and supremum,Kalman filter,Smoothing,Statistics,Hidden Markov model,Probability density function,Recursion,Mathematics | Journal | 6 |
Issue | ISSN | Citations |
2 | SIAM/ASA Journal on Uncertainty Quantification, Volume 6, Issue 2,
pages: 845-866, 2018 | 0 |
PageRank | References | Authors |
0.34 | 3 | 2 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Jeremie Houssineau | 1 | 34 | 9.57 |
| Adrian n. Bishop | 2 | 334 | 25.08 |