Model-Based Robust Filtering and Experimental Design for Stochastic Differential Equation Systems

Sport Psychologist, pp. 3849-3859, 2020.

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Abstract:

We derive robust linear filtering and experimental design for systems governed by stochastic differential equations (SDEs) under model uncertainty. Given a model of signal and observation processes, an optimal linear filter is found by solving the Wiener-Hopf equation; with model uncertainty, it is desirable to derive a corresponding robu...More

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