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The joint decision and estimation (JDE) algorithm is for solving problems involving simultaneous interdependent decision and estimation. Based on the JDE approach with a generalized Bayes risk and its recursive implementation (RJDE) for a dynamic system proposed recently, this paper proposes a conditional JDE (CJDE) risk, which is a generalization of the Bayes decision and estimation risks conditioning...
Double sequential probability ratio test (2-SPRT), as an extended version of SPRT to cope with the no-upper-bound problem, is extended to the multiple-model hypothesis testing (MMHT) approach, called 2-MMSPRT, for detecting unknown events that may have multiple prior distributions. Not only does it address the mis-specified problem of the SPRT based MMHT method (MMSPRT), but it also can be expected...
This paper considers a probabilistic approach to state estimation for discrete-time dynamic systems with unknown inputs. A variational Bayes method is proposed to approximate the marginal posterior distributions of system state and input. In order to reduce the computational complexity, the complete-data likelihoods of system from the exponential family are considered, and the conjugate prior distributions...
A polytopic model (PM) structure is often used in the areas of automatic control and fault detection as an alternative multiple model approach that explicitly allows for interpolation among local models. The model that is valid, usually unknown, is represented by a weighed combination of models in a given model set. Proposed is a novel approach to PM estimation by modeling the set of PM weights as...
Joint decision and estimation (JDE) is for solving problems involving inter-dependent decision and estimation and was proposed recently based on a generalized Bayes risk. The currently available JDE algorithm processes data in a batch manner. This batch method is computationally inefficient or infeasible for many dynamic JDE problems where measurements are made available sequentially. Therefore, this...
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