Convergence of Implicit Dicretization Schemes for Linear Differential Equations With Application to Filtering

Abstract

This paper presents a generalization of results on convergence and robustness discretization schemes for nonlinear filtering obtained by Kushner. This is made possible by a general theorem on the convergence of semigroups of operators on a Banach space, which gives sufficient conditions for a semi-discretization scheme to remain convergent, once the time is implicitly discretized. As a consequence, sufficient conditions can be given for selecting space discretizations of the state process generator to construct computable nonlinear filters converging to the optimal one.

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Document Details

Document Type
Technical Report
Publication Date
Jan 01, 1986
Accession Number
ADA444286

Entities

People

  • M. Piccioni

Organizations

  • University of Maryland

Tags

DTIC Thesaurus Topics

  • Abstracts
  • Banach Space
  • Computational Fluid Dynamics
  • Convergence
  • Differential Equations
  • Electrical Engineering
  • Engineering
  • Equations
  • Filtration
  • Information Operations
  • Linear Differential Equations
  • Mathematical Analysis
  • Universities

Fields of Study

  • Mathematics

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Finite Element Method (FEM) for solving Partial Differential Equations (PDEs)
  • Mathematical Modeling and Probability Theory.

Technology Areas

  • Space