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.
Type de document :
Communication dans un congrès
Proceedings of the 39th Conference on Decision and Control, Sydney 2000, Dec 2000, Sydney, Australia. 2, pp.1585-1590, 2000, 〈10.1109/CDC.2000.912086〉
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https://hal.inria.fr/hal-00912083
Contributeur : Francois Le Gland <>
Soumis le : dimanche 1 décembre 2013 - 23:04:16
Dernière modification le : mercredi 16 mai 2018 - 11:23:05

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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, Dec 2000, Sydney, Australia. 2, pp.1585-1590, 2000, 〈10.1109/CDC.2000.912086〉. 〈hal-00912083〉

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