Game Theoretic Approach to Robust Filtering.

摘要

A game theoretic approach to the filtering or smoothing problem is presented. A family of stationary information carrying processes and generalized models for the noise channel and the filter is considered. Sufficient conditions for the existence of saddle-point type solutions are stated. In addition, the solution for a special case of noise channel, a family of information carrying processes, and a nonlinear filter are found.