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Piecewise monotone filtering in discrete-time with small observation noise

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4 Author(s)
W. H. Fleming ; Div. of Appl. Math., Brown Univ., Providence, RI, USA ; D. Ji ; P. Salame ; Q. Zhang

A discrete-time model for filtering with small observation noise is considered. A piecewise linear observation function is considered with two intervals of monotonicity. A sequential quadratic variation test is found to detect intervals of linearity of the observation function. Diffusion approximations to certain discrete processes are made to estimate the mean times for reaching a decision and the error probabilities

Published in:

IEEE Transactions on Automatic Control  (Volume:36 ,  Issue: 10 )