Stability and approximation of nonlinear filters: an information theoretic approach

It has recently been proved by J.M.C. Clark et al. that the relative entropy (or Kullback-Leibler information distance) between two nonlinear filters with different initial conditions is a supermartingale, hence its expectation can only decrease with time. This result was obtained for a very general...

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Bibliographische Detailangaben

1. Verfasser:	LeGland, F.
Format:	Tagungsbericht
Sprache:	eng
Schlagworte:	Entropy Information filtering Information filters Markov processes Mathematics Nonlinear filters Probability Robustness Stability State-space methods White noise Zinc
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