This article is cited in 1 paper

Stochastic Systems

Application of the Monte Carlo method for optimal estimation in systems with a random structure

V. B. Svetnik

Leningrad

Abstract: Optimal estimates in filtering, interpolation, and extrapolation are approximately computed by the Monte-Carlo technique for systems whose structure randomly changes either when the coordinate vector leaves one domain of the state space for another or is initiated by a Markov chain independent of coordinates. Examples are provided. The time of a random sequence “going wrong” is estimated.

UDC: 62-50, 519.283


Received: 18.04.1985

 English version: Automation and Remote Control, 1986, 47:6, 818–827

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