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Analysis and Filtration of Special Discrete-Time Markov Processes. II. Optimal Filtration


Mean-square optimal filtration of the states of a special Markov process, which is the generalization of Markov chains with a finite or denumerable number of states, is studied. By way of example, tracking of the state of a network connection under TCP is given.

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Translated from Avtomatika i Telemekhanika, No. 7, 2005, pp. 112–125.

Original Russian Text Copyright © 2005 by Borisov, Miller.

This work was supported by INTAS, project no. YSF 04-83-3623.

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Borisov, A.V., Miller, G.B. Analysis and Filtration of Special Discrete-Time Markov Processes. II. Optimal Filtration. Autom Remote Control 66, 1125–1136 (2005).

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