C O L L O Q U I U M
Modified
Foster-Liapounov functions and
their
applications to asymptotic stability of
nonlinear
filters in hidden Markov models
Statistics
Department,
C.V. Starr Visiting
Professor at HKU
A long-standing problem in optimal filtering theory is the asymptotic
stability of nonlinear filters in hidden Markov models, generalizing classical
stability results for the Kalman filter in linear
state-space models. After a brief review of important developments in this
problem during the past decade, we propose a new appraoch
based on measure-valued Markov chains and certain modified Foster-Liapounov functions. Some applications of this asymptotic
stability theory are also given.
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Room 517, Meng Wah Complex |
Tea will be held in Room 516, Meng Wah Complex at 3:40pm
All are welcome