Title :
Stability and approximation of nonlinear filters in the Hilbert metric, and application to particle filters
Author :
LeGland, François ; Oudjane, Nadia
Author_Institution :
IRISA, Rennes, France
Abstract :
The stability of the optimal filter w.r.t. its initial condition and w.r.t. the model, is studied in a general hidden Markov model using the Hilbert projective metric. These stability results are then used to prove the uniform convergence of the interacting particle filter to the optimal filter, as the number of particles goes to infinity
Keywords :
convergence; filtering theory; hidden Markov models; nonlinear filters; Hilbert projective metric; optimal filter; particle filters; uniform convergence; Convergence; Electronic mail; Ethics; H infinity control; Hidden Markov models; Kernel; Nonlinear filters; Particle filters; Probability distribution; Stability;
Conference_Titel :
Decision and Control, 2000. Proceedings of the 39th IEEE Conference on
Conference_Location :
Sydney, NSW
Print_ISBN :
0-7803-6638-7
DOI :
10.1109/CDC.2000.912086
