Asymptotic properties of linear filter for deterministic processes
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Publication:2189138
DOI10.1016/J.SYSCONLE.2020.104676zbMATH Open1447.93353arXiv1901.00307OpenAlexW3017787822MaRDI QIDQ2189138FDOQ2189138
Authors: Anugu Sumith Reddy, Amit Apte, Sreekar Vadlamani 
Publication date: 15 June 2020
Published in: Systems \& Control Letters (Search for Journal in Brave)
Abstract: It is known that Kalman-Bucy filter is stable with respect to initial conditions under the conditions of uniform complete controllability and uniform complete observability (Bishop et. al 2017, Ocone et. al 1996). In this paper, we prove the stability of Kalman-Bucy filter for the case of noise free dynamical system. The earlier stability results cannot be applied for this case, as the system is not controllable at all. We further show that the optimal linear filter for certain class of non-Gaussian initial conditions is asymptotically proximal to Kalman-Bucy filter. It is also shown that the filter corresponding to non-zero system noise in the limit of small system noise approaches the filter corresponding to zero system noise in the case of Gaussian initial conditions.
Full work available at URL: https://arxiv.org/abs/1901.00307
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Cited In (6)
- A note on Kalman-Bucy filters with zero measurement noise
- The deterministic interpretation of the Kalman filter
- Probing robustness of nonlinear filter stability numerically using sinkhorn divergence
- Detectability Conditions and State Estimation for Linear Time-Varying and Nonlinear Systems
- On the stability of Kalman-Bucy diffusion processes
- Stability of non-linear filter for deterministic dynamics
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