Convergence and stability analysis of PDE-based filtering algorithm
组织者
演讲者
时间
2022年11月15日 21:00 至 21:30
地点
Online
摘要
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.