Exponential Stability for Nonlinear Filtering

Exponential Stability for Nonlinear Filtering (1996)

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by Rami Atar , Ofer Zeitouni

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Datum	Value	Source
TITLE	Exponential Stability for Nonlinear Filtering	user correction - Legacy Corrections
AUTHOR NAME	Rami Atar	user correction - Legacy Corrections
AUTHOR AFFIL	Department of Electrical Engineering; Technion- Israel Institute of Technology	user correction - Legacy Corrections
AUTHOR ADDR	Haifa 32000, Israel	user correction - Legacy Corrections
AUTHOR NAME	Ofer Zeitouni	user correction - Legacy Corrections
AUTHOR AFFIL	Department of Electrical Engineering; Technion- Israel Institute of Technology	user correction - Legacy Corrections
AUTHOR ADDR	Haifa 32000, Israel	user correction - Legacy Corrections
ABSTRACT	We study the a.s. exponential stability of the optimal filter w.r.t. its initial conditions. A bound is provided on the exponential rate (equivalently, on the memory length of the filter) for a general setting both in discrete and in continuous time, in terms of Birkhoff's contraction coefficient. Criteria for exponential stability and explicit bounds on the rate are given in the specific cases of a diffusion process on a compact manifold, and discrete time Markov chains on both continuous and discrete-countable state spaces. R'esum'e Nous 'etudions la stabilit'e du filtre optimal par raport `a ses conditions initiales. Le taux de d'ecroissance exponentielle est calcul'e dans un cadre g'en'eral, pour temps discret et temps continu, en terme du coefficient de contraction de Birkhoff. Des crit`eres de stabilit'e exponentielle et des bornes explicites sur le taux sont calcul'ees pour les cas particuliers d'une diffusion sur une vari'ete compacte, ainsi que pour des chaines de Markov sur ...	user correction - Legacy Corrections
YEAR	1996	user correction - Legacy Corrections
VENUE TYPE	JOURNAL	INFERENCE
PAGES	697--725	INFERENCE
VOLUME	33	INFERENCE
CITATIONS	18 found	ParsCit 1.0