Stability and Uniform Approximation of Nonlinear Filters Using the Hilbert Metric and Application to Particle Filters1 by François Le Gland
نویسنده
چکیده
We study the stability of the optimal filter w.r.t. its initial condition and w.r.t. the model for the hidden state and the observations in a general hidden Markov model, using the Hilbert projective metric. These stability results are then used to prove, under some mixing assumption, the uniform convergence to the optimal filter of several particle filters, such as the interacting particle filter and some other original particle filters.
منابع مشابه
Stability and Uniform Approximation of Nonlinear Filters using the Hilbert Metric, and Application to Particle Filters
We study the stability of the optimal lter w.r.t. its initial condition and w.r.t. the model for the hidden state and the observations in a general hidden Markov model, using the Hilbert projective metric. These stability results are then used to prove, under some mixing assumption, the uniform convergence to the optimal lter of several particle lters, such as the interacting particle lter and ...
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تاریخ انتشار 2004