Lyapunov Exponents for Filtering Problems

Abstract

The dependence of the optimal nonlinear filter on it's initial conditions is considered for continuous time linear filtering and for finite state space nonlinear filtering. Partial results are obtained in the high signal to noise ration case, together with a characterization of the Lyapunov exponent in the (easier) low SNR case.

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Document Details

Document Type
Technical Report
Publication Date
Apr 01, 1988
Accession Number
ADA459564

Entities

People

  • Bernard Delyon
  • Ofer Zeitouni

Organizations

  • Massachusetts Institute of Technology

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Abstracts
  • Brownian Motion
  • Data Science
  • Differential Equations
  • Eigenvalues
  • Equations
  • Filters
  • Filtration
  • Gaussian Processes
  • Information Operations
  • Information Science
  • Kalman Filtering
  • Linear Systems
  • Noise
  • Observation
  • Structural Properties
  • White Noise

Fields of Study

  • Engineering

Readers

  • Approximation Theory.
  • Control Systems Engineering.
  • Radar Systems Engineering.

Technology Areas

  • Space