On the nice behavior of the Gaussian projection filter with small observation noise

D. Brigo

    Research output: Contribution to JournalArticleAcademic

    Abstract

    When projecting on the manifold of Gaussian densities, the projection filter has been shown to be equal to a McShane-Fisk-Stratonovich (MFS) derivation of the Gaussian assumed density filter. Starting from this point, we study the asymptotic behaviour of the Gaussian projection filter when the covariance of the observation noise tends to zero. We prove that the mean square difference between the true state of the system and the estimate given by the projection filter is bounded by a constant which is proportional to the magnitude of the observation noise. © 1995.
    Original languageEnglish
    Pages (from-to)363-370
    Number of pages7
    JournalSystems and Control Letters
    Volume26
    DOIs
    Publication statusPublished - 1995

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