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Convergence results for continuous-time adaptive stochastic filtering algorithms
Authors:JH van Schuppen
Institution:Mathematical Centre, P. O. Box 4079, 1009 AB Amsterdam, The Netherlands
Abstract:The adaptive stochastic filtering problem for Gaussian processes is considered. The self-tuning synthesis procedure is used to derive two algorithms for this problem. Almost sure convergence for the parameter estimate and the filtering error will be established. The convergence analysis is based on an almost-supermartingale convergence lemma that allows a stochastic Lyapunov-like approach.
Keywords:
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