论文标题
模型歧义下的随机过滤
Stochastic filtering under model ambiguity
论文作者
论文摘要
在本文中，我们研究了信号模型不确定性存在的非线性过滤问题。模型歧义的特征是从中采取了一类概率度量。通过使用Mini-Max定理互换极值问题的顺序后，我们发现不确定的过滤问题可以转换为加权条件的均值均值最佳控制问题。此外，我们表征了歧义过滤器并证明其独特的存在。
In this paper, we study a non-linear filtering problem in the presence of signal model uncertainty. The model ambiguity is characterized by a class of probability measures from which the true one is taken. After interchanging the order of extremum problems by using the mini-max theorem, we find that the uncertain filtering problem can be converted to a weighted conditional mean-field optimal control problem. Further, we characterize the ambiguity filter and prove its unique existence.
