New perturbation bounds for the discrete-time H/sup ∞/ filtering problem

2004 ◽  
Author(s):  
N.D. Christov ◽  
M. Najim ◽  
E. Grivel ◽  
D. Henry
Keyword(s):  
Discrete Time ◽  
Perturbation Bounds ◽  
New Perturbation ◽  
Filtering Problem

scholarly journals Filtering with a limiter

1998 ◽  
Vol 11 (3) ◽  
pp. 289-300 ◽  
Author(s):  
R. Liptser ◽  
P. Muzhikanov
Keyword(s):  
Weak Convergence ◽  
Diffusion Process ◽  
White Noise ◽  
Discrete Time ◽  
Diffusion Approximation ◽  
Conditional Expectation ◽  
Gaussian White Noise ◽  
Sampling Step ◽  
Non Gaussian ◽  
Filtering Problem

We consider a filtering problem for a Gaussian diffusion process observed via discrete-time samples corrupted by a non-Gaussian white noise. Combining the Goggin's result [2] on weak convergence for conditional expectation with diffusion approximation when a sampling step goes to zero we construct an asymptotic optimal filter. Our filter uses centered observations passed through a limiter. Being asymptotically equivalent to a similar filter without centering, it yields a better filtering accuracy in a prelimit case.

scholarly journals Relative and Absolute Perturbation Bounds for Weighted Polar Decomposition

2012 ◽  
Vol 2012 ◽  
pp. 1-15
Author(s):  
Pingping Zhang ◽  
Hu Yang ◽  
Hanyu Li
Keyword(s):  
Polar Decomposition ◽  
Perturbation Bounds ◽  
New Perturbation

Some new perturbation bounds for both weighted unitary polar factors and generalized nonnegative polar factors of the weighted polar decompositions are presented without the restriction thatAand its perturbed matrixA˜have the same rank. These bounds improve the corresponding recent results.

New perturbation bounds for the subunitary polar factors

2013 ◽  
Vol 61 (4) ◽  
pp. 517-526
Author(s):  
Pingping Zhang ◽  
Hu Yang ◽  
Hanyu Li
Keyword(s):  
Perturbation Bounds ◽  
New Perturbation

Some New Perturbation Bounds for the Generalized Polar Decomposition

2004 ◽  
Vol 44 (2) ◽  
pp. 237-244 ◽  
Author(s):  
Xiao-shan Chen ◽  
Wen Li ◽  
Weiwei Sun
Keyword(s):  
Polar Decomposition ◽  
Perturbation Bounds ◽  
New Perturbation

Discrete-Time Equivalent of Continuous-Time Filtering Processes

1981 ◽  
Vol 103 (4) ◽  
pp. 417-419 ◽  
Author(s):  
Bernard Friedland
Keyword(s):  
Hamiltonian System ◽  
Discrete Time ◽  
Kalman Filtering ◽  
Continuous Time ◽  
Finite Time ◽  
Transition Matrix ◽  
Time Interval ◽  
Finite Time Interval ◽  
Filtering Problem

The continuous-time Kalman filtering problem over a finite time interval can be made equivalent to a discrete-time filtering problem. The matrices in the latter are related to the submatrices of the transition matrix of a Hamiltonian system that corresponds to the continuous-time filtering problem.

New perturbation bounds for Sylvester equations

2002 ◽  
Author(s):  
N.D. Christov ◽  
S. Lesecq ◽  
M.M. Konstantinov ◽  
P.Hr. Petkov ◽  
A. Barraud
Keyword(s):  
Perturbation Bounds ◽  
New Perturbation

scholarly journals Sensitivity and convergence of uniformly ergodic Markov chains

2005 ◽  
Vol 42 (4) ◽  
pp. 1003-1014 ◽  
Author(s):  
A. Yu. Mitrophanov
Keyword(s):  
Markov Chains ◽  
State Space ◽  
Rate Of Convergence ◽  
Transition Kernel ◽  
Numerical Examples ◽  
Perturbation Bounds ◽  
Finite State ◽  
New Perturbation ◽  
Finite State Space

For uniformly ergodic Markov chains, we obtain new perturbation bounds which relate the sensitivity of the chain under perturbation to its rate of convergence to stationarity. In particular, we derive sensitivity bounds in terms of the ergodicity coefficient of the iterated transition kernel, which improve upon the bounds obtained by other authors. We discuss convergence bounds that hold in the case of finite state space, and consider numerical examples to compare the accuracy of different perturbation bounds.

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