第52回ISCIE「確率システム理論と応用」国際シンポジウム(2020年10月, 大阪）
On a New Low-Rank Kalman-Bucy Filter and its Convergence Property
2021 年 2021 巻 p. 16-20
詳細
2021 年 2021 巻 p. 16-20
In this paper, we propose a new low-rank Kalman-Bucy filter. We approximate the Riccati equation associated with the Kalman-Bucy filter by low-rank matrices and discuss its convergence property. Furthermore, a condition under which the proposed low rank Kalman-Bucy filter becomes stable is derived. The performance between the proposed and previous approximations are shown numerically.
