BIMSA > Seminar on Control Theory and Nonlinear Filtering Convergence and stability analysis of PDE-based filtering algorithm
Convergence and stability analysis of PDE-based filtering algorithm
Organizer
Shing Toung Yau
Speaker
Jia Yi Kang
Time
Tuesday, November 15, 2022 9:00 PM - 9:30 PM
Venue
Online
Abstract
The direct method and the Yau-Yau method are two crucial filtering methods in nonlinear filtering problems. In this report, I demonstrated the explicit convergence rate of the spectral Galerkin method and provided an analysis of the global error for the Yau-Yau and direct methods in a path-wised point of view. Then, we analyzed the stability of spectral algorithm by using time discretization in a path-wised point of view.