On robustness of discrete time optimal filters

DOI10.3103/S1066530716030042MaRDI QIDQ2396743zbMATH OpenWikidataFDO

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

discrete-time Markov processesoptimal filteringrobustness

Mathematics Subject Classification ID

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

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

• A uniformly convergent adaptive particle filter
• Exponential stability for nonlinear filtering
• scientific article; zbMATH DE number 42531 (Why is no real title available?)
• scientific article; zbMATH DE number 635661 (Why is no real title available?)
• 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

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(12)

• 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
• A robustification approach to stability and to uniform particle approximation of nonlinear filters: the example of pseudo-mixing signals.
• Convergence properties of an optimal filter design with correlated output noise
• scientific article; zbMATH DE number 3939228 (Why is no real title available?)
• Stable approximation schemes for optimal filters
• Stability of the optimal filter in continuous time: beyond the Beneš filter
• Robustness to incorrect system models in stochastic control
• Robust Optimal Filtering Over Lossy Networks
• Asymptotic stability of the optimal filter for random chaotic maps
• On the stability of positive semigroups
• Robustness of optimal controlled diffusions with near-Brownian noise via rough paths theory

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