2022/04/04 by Jiaqi Zhang, Jie Xiong, Zhang, Jiaqi +1
Decision Sciences · Engineering · #28A12 #60A10 #60F15 #FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR) #Risk and Portfolio Optimization #Stability and Control of Uncertain Systems
paper · pdf · doi:10.48550/arxiv.2204.01226
openalex publication_date 2022/04/04 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.