Asymptotic Behaviour of Reduced-Order FiltersReport as inadecuate




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1 SYSDYS - Stochastic Dynamical Systems CRISAM - Inria Sophia Antipolis - Méditerranée

Abstract : Reduced-order filters are proposed for linear and nonlinear systems and their long time behaviour is studied. Using the results of Ocone and Pardoux \cite{ocpa} on the asymptotic stability of the optimal filter with respect to its initial condition, the asymptotic efficiency of these filters is established in various cases.

Keywords : REDUCED-ORDER FILTERS ASYMPTOTIC EFFICIENCY NONLINEAR FILTERING KALMAN FILTER





Author: A. Le Breton - M. C. Roubaud

Source: https://hal.archives-ouvertes.fr/



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