Convergence Analysis of Direct Method for Time-Varying Yau Filtering System
组织者
演讲者
时间
2024年07月31日 14:30 至 15:00
地点
理科楼A-304
摘要
The goal of nonlinear filtering is to determine the conditional mean of the state given the observation history, which requires us to solve the Duncan–Mortensen–Zakai equation in real time and in a memoryless manner. One of our approach is the direct method which works particularly well for time-varying Yau filtering system. The error of its estimation result is derived from the Gaussian approximation for a non-Gaussian initial distribution. The purpose of this paper is to show that, under very mild conditions, this error can be made arbitrary small if the error between this distribution and its Gaussian approximation is sufficiently small in L^1(B_R) sense for a sufficiently large positive number R, which is convenient for numerical computation.