A robustification approach to stability and to uniform particle approximation of nonlinear filters: the example of pseudo-mixing signals.

DOI10.1016/S0304-4149(03)00041-3zbMath1075.93541MaRDI QIDQ2574585

François Le Gland, Nadia Oudjane

Publication date: 29 November 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

stability; robustification; particle filter; nonlinear filter; Hilbert metric; mixing pseudo-mixing

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

65C05: Monte Carlo methods

93E15: Stochastic stability in control theory

60B10: Convergence of probability measures

Related Items

Stability and Uniform Particle Approximation of Nonlinear Filters in Case of Non Ergodic Signals, Filtering discrete time nonlinear systems with unknown parameters: a nonparametric approach., Analysis of error propagation in particle filters with approximation, An ergodic theorem for filtering with applications to stability, A note on exponential stability of the nonlinear filter for denumerable Markov chains, On discrete time ergodic filters with wrong initial data, Forgetting the initial distribution for hidden Markov models, Uniform time average consistency of Monte Carlo particle filters, Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters, Forgetting of the initial distribution for nonergodic hidden Markov chains, On ergodic filters with wrong initial data, Uniform observability of hidden Markov models and filter stability for unstable signals, Model robustness of finite state nonlinear filtering over the infinite time horizon, Uniform approximations of discrete-time filters

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