Stability and approximation of nonlinear filters using the Hilbert metric, and applications to particle filters

François Le Gland 1 Nadia Oudjane 1, 2
1 SIGMA2 - Signal, models, algorithms
IRISA - Institut de Recherche en Informatique et Systèmes Aléatoires, INRIA Rennes
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.
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Conference papers
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https://hal.inria.fr/hal-00912083
Contributor : Francois Le Gland <>
Submitted on : Sunday, December 1, 2013 - 11:04:16 PM
Last modification on : Tuesday, March 26, 2019 - 2:24:42 PM

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François Le Gland, Nadia Oudjane. Stability and approximation of nonlinear filters using the Hilbert metric, and applications to particle filters. Proceedings of the 39th Conference on Decision and Control, Sydney 2000, IEEE--CSS, Dec 2000, Sydney, Australia. pp.1585-1590, ⟨10.1109/CDC.2000.912086⟩. ⟨hal-00912083⟩

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