INVARIANCE OF ASTATE ESTIMATION OF A FINITE DISCRETE-TIME MARKOV CHAIN
E. A. Perepelkin
Saint-Petersburg State University of Aerospace Instrumentation, Saint-Petersburg, Russia
Keywords: Markov chain, state estimation, Luenberger observer, invariance
Abstract
The paper is devoted to solving the problem of constructing a state estimation of a finite discrete-time Markov chain. A Markov chain is considered as a linear dynamic system with incomplete state information. The state estimation is based on the Luenberger observer. The conditions for state estimation invariance to perturbations of transition probabilities in a Markov chain are obtained. A numerical example is considered.
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