A convergence theorem for controlled queues with partial information

2003 ◽  
Author(s):  
R. Cristescu ◽  
S.D. Servetto
Keyword(s):  
Convergence Theorem ◽  
Partial Information ◽  
Controlled Queues

A uniform convergence theorem for the numerical solving of the nonlinear filtering problem

1998 ◽  
Vol 35 (04) ◽  
pp. 873-884 ◽  
Author(s):  
P. Del Moral
Keyword(s):  
Monte Carlo ◽  
Uniform Convergence ◽  
Convergence Theorem ◽  
Nonlinear Filtering ◽  
Partial Information ◽  
Particle System ◽  
Convergence Result ◽  
Recursive Solution ◽  
Ergodic Condition ◽  
Filtering Problem

The filtering problem concerns the estimation of a stochastic process X from its noisy partial information Y. With the notable exception of the linear-Gaussian situation, general optimal filters have no finitely recursive solution. The aim of this work is the design of a Monte Carlo particle system approach to solve discrete time and nonlinear filtering problems. The main result is a uniform convergence theorem. We introduce a concept of regularity and we give a simple ergodic condition on the signal semigroup for the Monte Carlo particle filter to converge in law and uniformly with respect to time to the optimal filter, yielding what seems to be the first uniform convergence result for a particle approximation of the nonlinear filtering equation.

A uniform convergence theorem for the numerical solving of the nonlinear filtering problem

1998 ◽  
Vol 35 (4) ◽  
pp. 873-884 ◽  
Author(s):  
P. Del Moral
Keyword(s):  
Monte Carlo ◽  
Uniform Convergence ◽  
Convergence Theorem ◽  
Nonlinear Filtering ◽  
Partial Information ◽  
Particle System ◽  
Convergence Result ◽  
Recursive Solution ◽  
Ergodic Condition ◽  
Filtering Problem

The filtering problem concerns the estimation of a stochastic process X from its noisy partial information Y. With the notable exception of the linear-Gaussian situation, general optimal filters have no finitely recursive solution. The aim of this work is the design of a Monte Carlo particle system approach to solve discrete time and nonlinear filtering problems. The main result is a uniform convergence theorem. We introduce a concept of regularity and we give a simple ergodic condition on the signal semigroup for the Monte Carlo particle filter to converge in law and uniformly with respect to time to the optimal filter, yielding what seems to be the first uniform convergence result for a particle approximation of the nonlinear filtering equation.

Evidence for using partial information to reconstruct dates of events

1991 ◽  
Author(s):  
Charles P. Thompson ◽  
John J. Skowronski ◽  
Andrew L. Betz
Keyword(s):  
Partial Information
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