随机马尔科夫链(Stochastic Markov Chain)卡尔曼滤波(Kalman Filter)
随机马尔科夫链(StochasticMarkovChain):x0x_0x0已知,A,B,c,d,E,FA,B,c,d,E,FA,B,c,d,E,F已知。xt+1=Axt+c+ϵx_{t+1}=Ax_t+c+\epsilonxt+1=Axt+c+ϵ,ϵ∼N(0,E)\epsilon\sim\mathcal{N}(0,E)ϵ∼N(0,E)。ot+1=Bxt+d+δo_{t+1}=Bx_t+d+\de