Accession Number:

ADA459564

Title:

Lyapunov Exponents for Filtering Problems

Descriptive Note:

Corporate Author:

MASSACHUSETTS INST OF TECH CAMBRIDGE LAB FOR INFORMATION AND DECISION SYSTEMS

Personal Author(s):

Report Date:

1988-04-01

Pagination or Media Count:

15.0

Abstract:

The dependence of the optimal nonlinear filter on its 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.

Subject Categories:

  • Theoretical Mathematics
  • Operations Research
  • Radiofrequency Wave Propagation

Distribution Statement:

APPROVED FOR PUBLIC RELEASE