On robustness of discrete time optimal filters

DOI10.3103/S1066530716030042MaRDI QIDQ2396743zbMATHWikidataFDO

Authors A. Yu. Veretennikov, Marina Kleptsyna

Publication date 24 May 2017

Published in Mathematical Methods of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1501.00190

zbMATH Keywords

robustnessoptimal filteringdiscrete-time Markov processes

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Abstract: A new result on stability of an optimal nonlinear filter with respect to small perturbations on every step is established.

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Cites work

• scientific article; zbMATH DE number 42531 (Why is no real title available?)
• scientific article; zbMATH DE number 635661 (Why is no real title available?)
• A uniformly convergent adaptive particle filter
• Exponential stability for nonlinear filtering
• On discrete time ergodic filters with wrong initial data
• Parameter estimation and asymptotic stability in stochastic filtering
• Rate of mixing and the averaging principles for stochastic recursive procedures
• Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters

Cited in

(11)

• Stable approximation schemes for optimal filters
• Stability of the optimal filter in continuous time: beyond the Beneš filter
• A robustification approach to stability and to uniform particle approximation of nonlinear filters: the example of pseudo-mixing signals.
• Robustness to incorrect models and data-driven learning in average-cost optimal stochastic control
• Implicit and explicit discrete-time realizations of the robust exact filtering differentiator
• On the stability of positive semigroups
• Convergence properties of an optimal filter design with correlated output noise
• Robust Optimal Filtering Over Lossy Networks
• scientific article; zbMATH DE number 3939228 (Why is no real title available?)
• Asymptotic stability of the optimal filter for random chaotic maps
• Robustness to incorrect system models in stochastic control

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