Observability and Filter Stability
Organizer
Speaker
Zeju Sun
Time
Monday, May 1, 2023 2:30 PM - 3:00 PM
Venue
Online
Abstract
For filtering system in unbounded domains, ergodicity seems to be a too strong condition for the signal process to hold. In this case, the stability of the filter highly depends on the information provided by the observations. The quality of the information provided by the observations is referred to as observability. It can be shown that if the observation is informative enough, the conditional expectation of a large class of test functions is indeed stable, even for filtering systems with non-ergodic signal processes.