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Nonlinear filtering: Interacting particle solution. (English) Zbl 0879.60042

Summary: This paper covers stochastic particle methods for the numerical solution of the nonlinear filtering equations based on the simulation of interacting particle systems. The main contribution of this paper is to prove convergence of such approximations to the optimal filter, thus yielding what seems to be the first convergence results for such approximations of the nonlinear filtering equations. This new treatment has been influenced primarily by the development of genetic algorithms [see J. H. Holland, “Adaptation in natural and artificial systems” (1975; Zbl 0317.68006) and R. Cerf, “Une théorie asymptotique des algorithms génétiques” (Montpellier, 1994)] and secondarily by the papers of H. Kunita [J. Multivariate Anal. 1, 365-393 (1971; Zbl 0245.93027)] and Ł. Stettner [in: Stochastic differential systems. Lect. Notes Control Inf. Sci. 126, 279-292 (1989; Zbl 0683.93082)]. Such interacting particle solutions encompass genetic algorithms. Incidentally, our models provide essential insight for the analysis of genetic algorithms with a non-homogeneous fitness function with respect to time.

MSC:

60G35 Signal detection and filtering (aspects of stochastic processes)
93E11 Filtering in stochastic control theory
60F10 Large deviations
60J10 Markov chains (discrete-time Markov processes on discrete state spaces)
62D05 Sampling theory, sample surveys
65C05 Monte Carlo methods
62F12 Asymptotic properties of parametric estimators
62G05 Nonparametric estimation
62L20 Stochastic approximation
62M05 Markov processes: estimation; hidden Markov models
92D15 Problems related to evolution
93E10 Estimation and detection in stochastic control theory