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Asymptotic Behaviour of Reduced-Order Filters

A. Le Breton 1 M. C. Roubaud
1 SYSDYS - Stochastic Dynamical Systems
CRISAM - Inria Sophia Antipolis - Méditerranée
Abstract : Reduced-order filters are proposed for linear and nonlinear systems and their long time behaviour is studied. Using the results of Ocone and Pardoux \cite{ocpa} on the asymptotic stability of the optimal filter with respect to its initial condition, the asymptotic efficiency of these filters is established in various cases.
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Submitted on : Wednesday, May 24, 2006 - 12:39:45 PM
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  • HAL Id : inria-00073378, version 1

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A. Le Breton, M. C. Roubaud. Asymptotic Behaviour of Reduced-Order Filters. RR-3311, INRIA. 1997. ⟨inria-00073378⟩

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