BISHOP, Adrian; DEL MORAL, Pierre

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BISHOP, Adrian
Commonwealth Scientific and Industrial Research Organisation [Australia] [CSIRO]

DEL MORAL, Pierre
Quality control and dynamic reliability [CQFD]

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2017-08-30

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The Kalman-Bucy filter is the optimal state estimator for an Ornstein-Ulhenbeck diffusion given that the system is partially observed via a linear diffusion-type (noisy) sensor. Under Gaussian assumptions, it provides a finite-dimensional exact implementation of the optimal Bayes filter. It is generally the only such finite-dimensional exact instance of the Bayes filter for continuous state-space models. Consequently, this filter has been studied extensively in the literature since the seminal 1961 paper of R.E. Kalman and R.S. Bucy. The purpose of this work is to review, reprove and refine existing results concerning the dynamical properties of the Kalman-Bucy filter so far as they pertain to filter stability and convergence. The associated differential matrix Riccati equation is a focal point of this study with a number of bounds, convergence, and eigenvalue inequalities rigorously proven. New results are also given in the form of exponential and comparison inequalities for both the filter and the Riccati flow.< Réduire

Mots clés en anglais

diffusion flows

differential Riccati equations

Kalman-Bucy diffusion

Kalman-Bucy filter

transition semigroups

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On the stability of Kalman-Bucy diffusion processes

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Mots clés en anglais

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