A robustification approach to stability and to uniform particle approximation of nonlinear filters: the example of pseudo-mixing signals.

DOI10.1016/S0304-4149(03)00041-3zbMath1075.93541OpenAlexW2008320081MaRDI QIDQ2574585

Nadia Oudjane, François Le Gland

Publication date: 29 November 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(03)00041-3

zbMATH Keywords

stabilityrobustificationparticle filternonlinear filterHilbert metricmixing pseudo-mixing

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Monte Carlo methods (65C05) Stochastic stability in control theory (93E15) Convergence of probability measures (60B10)

Related Items (21)

On ergodic filters with wrong initial data ⋮ Uniform observability of hidden Markov models and filter stability for unstable signals ⋮ Stability and Uniform Particle Approximation of Nonlinear Filters in Case of Non Ergodic Signals ⋮ An ergodic theorem for filtering with applications to stability ⋮ A note on exponential stability of the nonlinear filter for denumerable Markov chains ⋮ Stability properties of some particle filters ⋮ On the stability of positive semigroups ⋮ Enhanced consistency of the resampled convolution particle filter ⋮ Forgetting of the initial distribution for nonergodic hidden Markov chains ⋮ Twisted particle filters ⋮ Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters ⋮ On discrete time ergodic filters with wrong initial data ⋮ Analysis of error propagation in particle filters with approximation ⋮ Model robustness of finite state nonlinear filtering over the infinite time horizon ⋮ Stability of the filter with Poisson observations ⋮ Filtering discrete time nonlinear systems with unknown parameters: a nonparametric approach. ⋮ Uniform approximations of discrete-time filters ⋮ Long-term stability of sequential Monte Carlo methods under verifiable conditions ⋮ Forgetting the initial distribution for hidden Markov models ⋮ Stability of the optimal filter in continuous time: beyond the Beneš filter ⋮ Uniform time average consistency of Monte Carlo particle filters

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