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Exponential stability of discrete-time filters for bounded observation noise

โœ Scribed by A. Budhiraja; D. Ocone

Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
485 KB
Volume
30
Category
Article
ISSN
0167-6911

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โœฆ Synopsis

This paper proves exponential asymptotic stability of discrete-time filters for the estimation of solutions to stochastic difference equations, when the observation noise is bounded. No assumption is made on the ergodicity of the signal. The proof uses the Hilbert projective metric, introduced into filter stability analysis by Atar and Zeitouni [1,2]. It is shown that when the signal noise is sufficiently regular, boundedness of the observation noise implies that the filter update operation is, on average, a strict contraction with respect to the Hilbert metric. Asymptotic stability then follows.

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