搜索结果: 1-6 共查到“应用统计数学 Markov”相关记录6条 . 查询时间(0.511 秒)
连续Markov跳变系统最优控制
最优控制 连续Markov跳变系统 随机最大值原理
2014/3/12
针对连续Markov 跳变系统, 对其最优控制问题进行研究. 首先, 基于随机最大值原理, 设计完全状态信息情形下Markov 跳变系统的最优控制器; 然后, 采用导数原始定义结合Markov 跳变系统特性的方法, 得到了最优控制器系数矩阵的黎卡提微分方程, 进而将其推广到不完全状态信息情形; 最后, 通过数值仿真验证了所得控制器的正确性.
Rao-Blackwellised Interacting Markov Chain Monte Carlo for Electromagnetic Scattering Inversion
Rao-Blackwellised Markov Chain Monte Carlo Electromagnetic Scattering Inversion
2012/11/22
The following electromagnetism (EM) inverse problem is addressed. It consists in estimating local radioelectric properties of materials recovering an object from the global EM scattering measurement, ...
Marginal Likelihood Computation for Hidden Markov Models via Generalized Two-Filter Smoothing
MarginalLikelihood Sequential MonteCarlo Generalized Two-Filter Smoothing
2012/11/21
In this note we introduce an estimate for the marginal likelihood associated to hidden Markov models (HMMs) using sequential Monte Carlo (SMC) approximations of the generalized two-filter smoothing de...
Nonparametric estimation in hidden Markov models
Nonparametric estimation hidden Markov models
2012/11/22
This paper outlines a new procedure to perform nonparametric estimation in hidden Markov models. It is assumed that a Markov chain (Xk) is observed only through a process (Yk), where Yk is a noisy obs...
将灰色预测模型GM(1,1)与Markov链方法相结合，建立灰色Markov预测模型，预测波动上升的数据系列。在Markov链预测中，改进了状态转移矩阵的传统计算方法，对状态施行动态滑动转移，用更新的一步状态转移概率矩阵，对未来数据所处的状态进行一步或多步预测。在实证中，以黄石市农民年人均纯收入为例，把农民收入看作一个灰色系统,农民人均收入看作灰色量，通过过去年份的数据挖掘，在Mathematic...
Statistical identification with hidden Markov models of large order splitting strategies in an equity market
Statistical identification hidden Markov models order splitting strategies
2010/4/27
Large trades in a financial market are usually split into smaller parts and traded incrementally over extended periods of time. We address these large trades as hidden orders. In order to identify and...