Related papers: Backward Map for Filter Stability Analysis
Hyperexponential stability is investigated for dynamical systems with the use of both, explicit and implicit, Lyapunov function methods. A nonlinear hyperexponential control is designed for stabilizing linear systems. The tuning procedure…
This papers shows that nonlinear filter in the case of deterministic dynamics is stable with respect to the initial conditions under the conditions that observations are sufficiently rich, both in the context of continuous and discrete time…
We consider stochastic differential equations, obtained by adding weak Gaussian white noise to ordinary differential equations admitting $N$ asymptotically stable periodic orbits. We construct a discrete-time, continuous-space Markov chain,…
This paper studies the stability of covariance-intersection (CI)-based distributed Kalman filtering in time-varying systems. For the general time-varying case, a relationship between the error covariance and the observability Gramian is…
This paper considers a non-Markov control problem arising in a financial market where asset returns depend on hidden factors. The problem is non-Markov because nonlinear filtering is required to make inference on these factors, and hence…
The Geometrically Intrinsic Nonlinear Recursive Filter, or GI Filter, is designed to estimate an arbitrary continuous-time Markov diffusion process X subject to nonlinear discrete-time observations. The GI Filter is fundamentally different…
In this work, it is demonstrated that the usual power system dynamic model exhibits a feedforward-feedback control structure. The distinct properties of the feedforward and feedback subsystems are identified and studied using respective…
In this paper, we consider the filtering and smoothing recursions in nonparametric finite state space hidden Markov models (HMMs) when the parameters of the model are unknown and replaced by estimators. We provide an explicit and time…
This paper concerns the inverse source problems for the time-harmonic elastic and electromagnetic wave equations. The goal is to determine the external force and the electric current density from boundary measurements of the radiated wave…
Modulation instability in a nonlinear optical waveguide array with alternating positive and negative refractive indices is investigated analytically. Particular solutions of a system of coupled nonlinear equations are found. These solutions…
We study an interplay between delay and discontinuous hysteresis in dynamical systems. After having established existence and uniqueness of solutions, we focus on the analysis of stability of periodic solutions. The main object we study is…
This paper presents a mathematical framework for causal nonlinear prediction in settings where observations are generated from an underlying hidden Markov model (HMM). Both the problem formulation and the proposed solution are motivated by…
The exponential stability and the concentration properties of a class of extended Kalman-Bucy filters are analyzed. New estimation concentration inequalities around partially observed signals are derived in terms of the stability properties…
In this paper, we consider an anticipative nonlinear filtering problem, in which the observation noise is correlated with the past of the signal. This new signal-observation model has its applications in both finance models with insider…
We consider the inverse problem of estimating an unknown function $u$ from noisy measurements $y$ of a known, possibly nonlinear, map $\mathcal{G}$ applied to $u$. We adopt a Bayesian approach to the problem and work in a setting where the…
In recent work [P. Grohs and M. Rathmair. Stable Gabor Phase Retrieval and Spectral Clustering. Communications on Pure and Applied Mathematics (2018)] and [P. Grohs and M. Rathmair. Stable Gabor phase retrieval for multivariate functions.…
We quantify the effect of Gaussian white noise on fast--slow dynamical systems with one fast and two slow variables, which display mixed-mode oscillations owing to the presence of a folded-node singularity. The stochastic system can be…
In this note we prove that reconstruction from magnitudes of frame coefficients (the so called "phase retrieval problem") can be performed using Lipschitz continuous maps. Specifically we show that when the nonlinear analysis map…
For additive actuator and sensor faults, we propose a systematic method to design a state-space fault estimation filter directly from Markov parameters identified from fault-free data. We address this problem by parameterizing a…
We prove that every reversible Markov semigroup which satisfies a Poincar\'e inequality satisfies a matrix-valued Poincar\'e inequality for Hermitian $d\times d$ matrix valued functions, with the same Poincar\'e constant. This generalizes…