Related papers: Stability of the optimal filter in continuous time…
A stable filter has the property that it asymptotically `forgets' initial perturbations. As a result of this property, it is possible to construct approximations of such filters whose errors remain small in time, in other words…
The problem of stability of the optimal filter is revisited. The optimal filter (or filtering process) is the conditional probability of the current state of some stochastic process (the signal process), given both present and past values…
A new result on stability of an optimal nonlinear filter with respect to small perturbations on every step is established.
We consider a hidden Markov model with multiplicative noise emerging from studies of software reliability. We show the stability of the optimal filter with respect to general initial conditions in the total variation- and $L^p$-norm and…
We consider sequences-indexed by time (discrete stages)-of families of multistage stochastic optimization problems. At each time, the optimization problems in a family are parameterized by some quantities (initial states, constraint…
Particle filtering is a powerful tool for target tracking. When the budget for observations is restricted, it is necessary to reduce the measurements to a limited amount of samples carefully selected. A discrete stochastic nonlinear…
For optimal stopping problems with time-inconsistent preference, we measure the inherent level of time-inconsistency by taking the time needed to turn the naive strategies into the sophisticated ones. In particular, when in a repeated…
In this paper, we propose a new framework for solving a general dynamic optimal stopping problem without time consistency. A sophisticated solution is proposed and is well-defined for any time setting with general flows of objectives. A…
Under multiplicative drift and other regularity conditions, it is established that the asymptotic variance associated with a particle filter approximation of the prediction filter is bounded uniformly in time, and the nonasymptotic,…
This paper analyzes a $\theta$-method and 3-point time filter. This approach adds one additional line of code to the existing source code of $\theta$-method. We prove the method's $0$-stability, accuracy, and $A$-stability for both constant…
In many scenarios, a state-space model depends on a parameter which needs to be inferred from data. Using stochastic gradient search and the optimal filter (first-order) derivative, the parameter can be estimated online. To analyze the…
Adaptive optimal control using value iteration initiated from a stabilizing control policy is theoretically analyzed in terms of stability of the system during the learning stage without ignoring the effects of approximation errors. This…
This article develops a comprehensive framework for stability analysis of a broad class of commonly used continuous and discrete time-filters for stochastic dynamic systems with non-linear state dynamics and linear measurements under…
This article is concerned with the convergence of the state estimate obtained from the discrete time Kalman filter to the continuous time estimate as the temporal discretization is refined. We derive convergence rate estimates for different…
Solving optimal control problems to determine a stabilizing controller involves a significant computational effort. Time-varying optimal control provides a remedy by designing a tracking system, given as an ordinary differential equation,…
In standard treatments of stochastic filtering one first has to estimate the values of the parameters of the model. Simply running the filter without considering the reliability of this estimate does not take into account this additional…
Adaptive optimal control using value iteration (VI) initiated from a stabilizing policy is theoretically analyzed in various aspects including the continuity of the result, the stability of the system operated using any single/constant…
We present a novel particle filtering framework for continuous-time dynamical systems with continuous-time measurements. Our approach is based on the duality between estimation and optimal control, which allows reformulating the estimation…
Discrete time control systems whose dynamics and observations are described by stochastic equations are common in engineering, operations research, health care, and economics. For example, stochastic filtering problems are usually defined…
We investigate the robustness of nonlinear filtering for continuous time finite state Markov chains, observed in white noise, with respect to misspecification of the model parameters. It is shown that the distance between the optimal filter…