On the stability and the concentration of extended Kalman-Bucy filters

DOI10.1214/18-EJP188MaRDI QIDQ1990224zbMATH OpenFDO

Authors Pierre Del Moral, Aline Kurtzmann, Julian Tugaut

Publication date 25 October 2018

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1606.08251, https://projecteuclid.org/euclid.ejp/1536717750

zbMATH Keywords

concentration inequalitiesextended Kalman-Bucy filterLyapunov exponentsnon-asymptotic exponential stabilityRiccati equation

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Asymptotic stability in control theory (93D20) Filtering in stochastic control theory (93E11) Stochastic stability in control theory (93E15)

Abstract: The exponential stability and the concentration properties of a class of extended Kalman-Bucy filters are analyzed. New estimation concentration inequalities around partially observed signals are derived in terms of the stability properties of the filters. These non asymptotic exponential inequalities allow to design confidence interval type estimates in terms of the filter forgetting properties with respect to erroneous initial conditions. For uniformly stable signals, we also provide explicit non-asymptotic estimates for the exponential forgetting rate of the filters and the associated stochastic Riccati equations w.r.t. Frobenius norms. These non asymptotic exponential concentration and quantitative stability estimates seem to be the first results of this type for this class of nonlinear filters. Our techniques combine $chi$-square concentration inequalities and Laplace estimates with spectral and random matrices theory, and the non asymptotic stability theory of quadratic type stochastic processes.

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Cited in

(12)

• Stability analysis of extended, cubature and unscented Kalman filters for estimating stiff continuous-discrete stochastic systems
• On the convergence of the unscented Kalman filter
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• CONVERGENCE ANALYSIS OF EXTENDED KALMAN FILTER IN A NOISY ENVIRONMENT THROUGH DIFFERENCE EQUATIONS

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