Practical stability of approximating discrete-time filters with respect to model mismatch using relative entropy concepts
Techakesari, Onvaree, Ford, Jason J., & Nesic, Dragan (2011) Practical stability of approximating discrete-time filters with respect to model mismatch using relative entropy concepts. In Proceedings from the 50th IEEE Conference on Decision and Control, IEEE, Hilton Orlando, Orlando, Florida, pp. 1-8. (In Press)
This paper establishes practical stability results for an important range of approximate discrete-time filtering problems involving mismatch between the true system and the approximating filter model. Using local consistency assumption, the practical stability established is in the sense of an asymptotic bound on the amount of bias introduced by the model approximation. Significantly, these practical stability results do not require the approximating model to be of the same model type as the true system. Our analysis applies to a wide range of estimation problems and justifies the common practice of approximating intractable infinite dimensional nonlinear filters by simpler computationally tractable filters.
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|Item Type:||Conference Paper|
|Keywords:||Practical Stability, Approximate Filtering, Discrete-Time, Nonlinear, Relative Entropy|
|Subjects:||Australian and New Zealand Standard Research Classification > ENGINEERING (090000) > ELECTRICAL AND ELECTRONIC ENGINEERING (090600) > Control Systems Robotics and Automation (090602)|
Australian and New Zealand Standard Research Classification > ENGINEERING (090000) > ELECTRICAL AND ELECTRONIC ENGINEERING (090600) > Signal Processing (090609)
|Divisions:||Current > Research Centres > Australian Research Centre for Aerospace Automation|
Past > QUT Faculties & Divisions > Faculty of Built Environment and Engineering
Past > Schools > School of Engineering Systems
|Copyright Owner:||Copyright 2011 IEEE|
|Copyright Statement:||Personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution to servers or lists, or to reuse any copyrighted component of this work in other works must be obtained from the IEEE.|
|Deposited On:||12 Aug 2011 08:52|
|Last Modified:||21 Jan 2012 16:40|
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