Asymptotic properties of linear filter for deterministic processes

DOI10.1016/J.SYSCONLE.2020.104676MaRDI QIDQ2189138zbMATH OpenOpenAlexFDO

Authors Anugu Sumith Reddy, Amit Apte, Sreekar Vadlamani

Publication date 15 June 2020

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1901.00307

zbMATH Keywords

stabilitysmall noise limitKalman-Bucynoise free

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic stability in control theory (93E15)

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.

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Cited in

(6)

• On the stability of Kalman-Bucy diffusion processes
• The deterministic interpretation of the Kalman filter
• A note on Kalman-Bucy filters with zero measurement noise
• Probing robustness of nonlinear filter stability numerically using sinkhorn divergence
• Detectability Conditions and State Estimation for Linear Time-Varying and Nonlinear Systems
• Stability of non-linear filter for deterministic dynamics

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