On the robustness of Riccati flows to complete model misspecification

DOI10.1016/J.JFRANKLIN.2018.06.042MaRDI QIDQ1797175zbMATH OpenOpenAlexWikidataFDO

Authors Adrian N. Bishop, Pierre Del Moral

Publication date 18 October 2018

Published in Journal of the Franklin Institute (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jfranklin.2018.06.042

zbMATH Keywords

continuous-time matrix Riccati operatorperturbationRiccati flowsrobustness

Mathematics Subject Classification ID

Matrix equations and identities (15A24) Operator-theoretic methods (93B28) Sensitivity (robustness) (93B35) Control/observation systems governed by ordinary differential equations (93C15)

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Cited in

(3)

• On one-dimensional Riccati diffusions
• On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering
• Robust Kalman and Bayesian Set-Valued Filtering and Model Validation for Linear Stochastic Systems

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• EnKF
• mftoolbox

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