A note on the memory length of optimal n
β
Rami Atar; Ofer Zeitouni
π
Article
π
1998
π
Elsevier Science
π
English
β 86 KB
Consider the one-dimensional ΓΏltering problem with state di usion coe cient and observation noise coe cient 1-, where 1 2 Β‘ Β‘1 is ΓΏxed. In the regime β 0, we provide an example of state dynamics and a corresponding asymptotically optimal ΓΏlter whose memory length is short in a strong sense. This sta