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Perturbations and projections of Kalman–Bucy semigroups

hal.structure.identifierCommonwealth Scientific and Industrial Research Organisation [Canberra] [CSIRO]
hal.structure.identifierUniversity of Technology Sydney [UTS]
dc.contributor.authorBISHOP, Adrian
hal.structure.identifierQuality control and dynamic reliability [CQFD]
hal.structure.identifierUniversity of New South Wales [Sydney] [UNSW]
dc.contributor.authorDEL MORAL, Pierre
hal.structure.identifierUniversity of New South Wales [Sydney] [UNSW]
dc.contributor.authorPATHIRAJA, Sahani D.
dc.date.accessioned2024-04-04T03:07:19Z
dc.date.available2024-04-04T03:07:19Z
dc.date.issued2017-11
dc.identifier.issn0304-4149
dc.identifier.urihttps://oskar-bordeaux.fr/handle/20.500.12278/193426
dc.description.abstractEnWe 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.
dc.language.isoen
dc.publisherElsevier
dc.title.enPerturbations and projections of Kalman–Bucy semigroups
dc.typeArticle de revue
dc.identifier.doi10.1016/j.spa.2017.10.006
dc.subject.halMathématiques [math]/Probabilités [math.PR]
bordeaux.journalStochastic Processes and their Applications
bordeaux.page1-48
bordeaux.hal.laboratoriesInstitut de Mathématiques de Bordeaux (IMB) - UMR 5251*
bordeaux.institutionUniversité de Bordeaux
bordeaux.institutionBordeaux INP
bordeaux.institutionCNRS
bordeaux.peerReviewedoui
hal.identifierhal-01669084
hal.version1
hal.popularnon
hal.audienceInternationale
hal.origin.linkhttps://hal.archives-ouvertes.fr//hal-01669084v1
bordeaux.COinSctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Stochastic%20Processes%20and%20their%20Applications&rft.date=2017-11&rft.spage=1-48&rft.epage=1-48&rft.eissn=0304-4149&rft.issn=0304-4149&rft.au=BISHOP,%20Adrian&DEL%20MORAL,%20Pierre&PATHIRAJA,%20Sahani%20D.&rft.genre=article


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