Lyapunov Exponents for Filtering Problems
MASSACHUSETTS INST OF TECH CAMBRIDGE LAB FOR INFORMATION AND DECISION SYSTEMS
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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.
- Theoretical Mathematics
- Operations Research
- Radiofrequency Wave Propagation