BISHOP, Adrian; DEL MORAL, Pierre; PATHIRAJA, Sahani D.

doi:10.1016/j.spa.2017.10.006

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BISHOP, Adrian
Commonwealth Scientific and Industrial Research Organisation [Australia] [CSIRO]
University of Technology Sydney [UTS]

DEL MORAL, Pierre
Quality control and dynamic reliability [CQFD]
University of New South Wales [Sydney] [UNSW]

PATHIRAJA, Sahani D.
University of New South Wales [Sydney] [UNSW]

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Stochastic Processes and their Applications. 2017-11p. 1-48

Elsevier

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We analyse various perturbations and projections of Kalman–Bucy semigroups and Riccati equations. For example, covariance inflation-type perturbations and localisation methods (projections) are common in the ensemble Kalman filtering literature. In the limit of these ensemble methods, the regularised sample covariance tends toward a solution of a perturbed/projected Riccati equation. With this motivation, results are given characterising the error between the nominal and regularised Riccati flows and Kalman–Bucy filtering distributions. New projection-type models are also discussed; e.g. Bose–Mesner projections. These regularisation models are also of interest on their own, and in, e.g., differential games, control of stochastic/jump processes, and robust control.< Réduire

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Perturbations and projections of Kalman–Bucy semigroups

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