کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1155894 958782 2009 27 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Uniform time average consistency of Monte Carlo particle filters
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Uniform time average consistency of Monte Carlo particle filters
چکیده انگلیسی

We prove that bootstrap-type Monte Carlo particle filters approximate the optimal nonlinear filter in a time average sense uniformly with respect to the time horizon when the signal is ergodic and the particle system satisfies a tightness property. The latter is satisfied without further assumptions when the signal state space is compact, as well as in the noncompact setting when the signal is geometrically ergodic and the observations satisfy additional regularity assumptions.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 119, Issue 11, November 2009, Pages 3835–3861
نویسندگان
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