On Stability of a Class of Filters for Nonlinear Stochastic Systems
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Publication:3300840
DOI10.1137/19M1285974zbMATH Open1448.37061arXiv1809.05667OpenAlexW3044425249MaRDI QIDQ3300840FDOQ3300840
Authors: Toni Karvonen, Silvère Bonnabel, Simo Särkkä, Eric Moulines 
Publication date: 30 July 2020
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Abstract: This article develops a comprehensive framework for stability analysis of a broad class of commonly used continuous and discrete time-filters for stochastic dynamic systems with non-linear state dynamics and linear measurements under certain strong assumptions. The class of filters encompasses the extended and unscented Kalman filters and most other Gaussian assumed density filters and their numerical integration approximations. The stability results are in the form of time-uniform mean square bounds and exponential concentration inequalities for the filtering error. In contrast to existing results, it is not always necessary for the model to be exponentially stable or fully observed. We review three classes of models that can be rigorously shown to satisfy the stringent assumptions of the stability theorems. Numerical experiments using synthetic data validate the derived error bounds.
Full work available at URL: https://arxiv.org/abs/1809.05667
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