Practical stability of approximating discrete-time filters with respect to model mismatch. (English) Zbl 1252.93128
Summary: This paper establishes practical stability results for an important range of approximate discrete-time filtering problems involving mismatch between the true system and the approximating filter model. Practical stability is established in the sense of an asymptotic bound on the amount of bias introduced by the model approximation. Our analysis applies to a wide range of estimation problems and justifies the common practice of approximating intractable infinite dimensional nonlinear filters by simpler computationally tractable filters.
MSC:
| 93E15 | Stochastic stability in control theory |
| 93D20 | Asymptotic stability in control theory |
| 93E11 | Filtering in stochastic control theory |
| 93C55 | Discrete-time control/observation systems |
| 93C10 | Nonlinear systems in control theory |
Keywords:
asymptotic stability; discrete-time systems; filter stability; model approximation; modelling errors; nonlinear filters; practical stabilityReferences:
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