Asymptotic stability of the Wonham filter: Ergodic and nonergodic signals
The stability problem of the Wonham filter with respect to initial conditions is addressed. The case of ergodic signals is revisited in view of a gap in the classic work of H. Kunita (1971). We give new bounds for the exponential stability rates, which do not depend on the observations. In the noner...
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| Veröffentlicht in: | SIAM journal on control and optimization 2004-01, Vol.43 (2), p.643-669 |
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| container_title | SIAM journal on control and optimization |
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| creator | BAXENDALE, Peter CHIGANSKY, Pavel LIPTSER, Robert |
| description | The stability problem of the Wonham filter with respect to initial conditions is addressed. The case of ergodic signals is revisited in view of a gap in the classic work of H. Kunita (1971). We give new bounds for the exponential stability rates, which do not depend on the observations. In the nonergodic case, the stability is implied by identifiability conditions, formulated explicitly in terms of the transition intensities matrix and the observation structure. |
| doi_str_mv | 10.1137/S0363012902416924 |
| format | Article |
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| identifier | ISSN: 0363-0129 |
| ispartof | SIAM journal on control and optimization, 2004-01, Vol.43 (2), p.643-669 |
| issn | 0363-0129 1095-7138 |
| language | eng |
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| source | SIAM Journals Online; EBSCOhost Business Source Complete |
| subjects | Applied sciences Computer science control theory systems Control theory. Systems Exact sciences and technology Markov analysis Mathematical programming Noise Operational research and scientific management Operational research. Management science |
| title | Asymptotic stability of the Wonham filter: Ergodic and nonergodic signals |
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