Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters
From MaRDI portal
Publication:1431554
DOI10.1214/aoap/1075828050zbMath1060.93094OpenAlexW1991324737MaRDI QIDQ1431554
François Le Gland, Nadia Oudjane
Publication date: 10 June 2004
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/e14d6856afdbbf4bb865446b68bf023071a05666
hidden Markov modelmixingparticle filterHilbert projective metricnonlinear filterregularizing kernelstability of the optimal filter
Filtering in stochastic control theory (93E11) Stochastic stability in control theory (93E15) Continuous-time Markov processes on discrete state spaces (60J27)
Related Items (53)
Convergence of Regularized Particle Filters for Stochastic Reaction Networks ⋮ Recursive Monte Carlo filters: algorithms and theoretical analysis ⋮ The Alive Particle Filter and Its Use in Particle Markov Chain Monte Carlo ⋮ Interacting and annealing particle filters: mathematics and a recipe for applications ⋮ Exponential forgetting and geometric ergodicity for optimal filtering in general state-space models ⋮ A simple formula for the Hilbert metric with respect to a sub-Gaussian cone ⋮ An Introduction to Particle Methods with Financial Applications ⋮ Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference ⋮ Bandwidth selection in pre-smoothed particle filters ⋮ Stability and Uniform Particle Approximation of Nonlinear Filters in Case of Non Ergodic Signals ⋮ Stochastic filtering for multiscale stochastic reaction networks based on hybrid approximations ⋮ On robustness of discrete time optimal filters ⋮ A Survey of Sequential Monte Carlo Methods for Economics and Finance ⋮ Stability properties of some particle filters ⋮ Stability of optimal filter higher-order derivatives ⋮ Stability of Feynman-Kac formulae with path-dependent potentials ⋮ A pseudo-marginal sequential Monte Carlo online smoothing algorithm ⋮ Nonparametric particle filtering approaches for identification and inference in nonlinear state-space dynamic systems ⋮ Inference for dynamic and latent variable models via iterated, perturbed Bayes maps ⋮ Finite-sample complexity of sequential Monte Carlo estimators ⋮ On the stability of positive semigroups ⋮ Linear variance bounds for particle approximations of time-homogeneous Feynman-Kac formulae ⋮ A regularized particle filter EM algorithm based on Gaussian randomization with an application to plant growth modeling ⋮ Expected power-utility maximization under incomplete information and with Cox-process observations ⋮ Exponential filter stability via Dobrushin's coefficient ⋮ Enhanced consistency of the resampled convolution particle filter ⋮ Forgetting of the initial distribution for nonergodic hidden Markov chains ⋮ Twisted particle filters ⋮ Particle-kernel estimation of the filter density in state-space models ⋮ On discrete time ergodic filters with wrong initial data ⋮ Analysis of error propagation in particle filters with approximation ⋮ Time-varying combinations of predictive densities using nonlinear filtering ⋮ Model robustness of finite state nonlinear filtering over the infinite time horizon ⋮ Stability of the filter with Poisson observations ⋮ Sequential Monte Carlo Samplers: Error Bounds and Insensitivity to Initial Conditions ⋮ Ergodicity of filtering process by vanishing discount approach ⋮ Expected log-utility maximization under incomplete information and with Cox-process observations ⋮ On discrete time ergodic filters with wrong initial data, 2 ⋮ Inference on high-dimensional implicit dynamic models using a guided intermediate resampling filter ⋮ Stability of nonlinear filters in nonmixing case ⋮ Uniform approximations of discrete-time filters ⋮ Parameter estimation and asymptotic stability in stochastic filtering ⋮ On the role of interaction in sequential Monte Carlo algorithms ⋮ Long-term stability of sequential Monte Carlo methods under verifiable conditions ⋮ On the convergence of two sequential Monte Carlo methods for maximum a posteriori sequence estimation and stochastic global optimization ⋮ Panel Data Analysis via Mechanistic Models ⋮ A uniformly convergent adaptive particle filter ⋮ Uniform time average consistency of Monte Carlo particle filters ⋮ A simulation approach to optimal stopping under partial information ⋮ Bias of Particle Approximations to Optimal Filter Derivative ⋮ Uniform in time propagation of chaos for a Moran model ⋮ A robustification approach to stability and to uniform particle approximation of nonlinear filters: the example of pseudo-mixing signals. ⋮ On the Hill relation and the mean reaction time for metastable processes
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Asymptotic bounds for the expected \(L^ 1\) error of a multivariate kernel density estimator
- Asymptotic ergodicity of the process of conditional law in some problem of nonlinear filtering
- Exponential stability for nonlinear filtering of diffusion processes in a noncompact domain
- Exponential stability for nonlinear filtering
- Exponential stability of discrete-time filters for bounded observation noise
- Exponential stability in discrete-time filtering for non-ergodic signal.
- Basic properties of the projective product with application to products of column-allowable nonnegative matrices
- Exponential forgetting and geometric ergodicity in hidden Markov models
- A robustification approach to stability and to uniform particle approximation of nonlinear filters: the example of pseudo-mixing signals.
- Sequential Monte Carlo Methods in Practice
- Lyapunov Exponents for Finite State Nonlinear Filtering
- Asymptotic Stability of the Optimal Filter with Respect to Its Initial Condition
- On the stability of interacting processes with applications to filtering and genetic algorithms
- The Monte-Carlo method for filtering with discrete-time observations
This page was built for publication: Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters
