Convergence of Implicit Discretization Schemes for Linear Differential Equations with Application to Filtering.

Loading...
Thumbnail Image

Files

TR_85-29.pdf (657.03 KB)
No. of downloads: 553

Publication or External Link

Date

1985

Advisor

Citation

DRUM DOI

Abstract

This paper presents a generalization of results on convergence and robustness of discretization schemes for nonlinear filtering proposed by Kushner. This is made possible by a general theorem on the convergence of semigroups of operators on a Banach space, which gives sufficient conditions for a semidiscretization scheme to remain convergent, once the time is implicitly discretized. As a consequence, sufficient conditions can be given for selecting space discretizations of the state process generator to construct computable nonlinear filters converging to the optimal one.

Notes

Rights