Perturbations and projections of Kalman-Bucy semigroups
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Publication:1660302
DOI10.1016/J.SPA.2017.10.006zbMATH Open1407.62338arXiv1701.05978OpenAlexW2762663306MaRDI QIDQ1660302
Author name not available (Why is that?)
Publication date: 15 August 2018
Published in: (Search for Journal in Brave)
Abstract: 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.
Full work available at URL: https://arxiv.org/abs/1701.05978
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