A NOTE ON THE MEMORY LENGTH OF OPTIMAL NONLINEAR FILTERS

Authors
ATAR R ZEITOUNI O
Citation
R. Atar et O. Zeitouni, A NOTE ON THE MEMORY LENGTH OF OPTIMAL NONLINEAR FILTERS, Systems & control letters, 35(2), 1998, pp. 131-135
Citations number
10
Categorie Soggetti
Robotics & Automatic Control","Operatione Research & Management Science","Robotics & Automatic Control","Operatione Research & Management Science
Journal title
Systems & control letters → ACNP
ISSN journal
01676911
Volume
35
Issue
2
Year of publication
1998
Pages
131 - 135
Database
ISI
SICI code
0167-6911(1998)35:2<131:ANOTML>2.0.ZU;2-B
Abstract
Consider the one-dimensional filtering problem with state diffusion co efficient epsilon(gamma) and observation noise coefficient epsilon(1-g amma), where 1/2 < gamma < 1 is fixed. In the regime epsilon --> 0, we provide an example of state dynamics and a corresponding asymptotical ly optimal filter whose memory length is short in a strong sense. This stands in contrast with the behavior of the correlation memory length , proposed in [7], which stays bounded away from zero as epsilon --> 0 . (C) 1998 Elsevier Science B.V. All rights reserved.