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On the Phase Portrait of the Fast Filtering Algorithms

Yishao Zhou — 2010

ESAIM: Control, Optimisation and Calculus of Variations

Fast filtering algorithms arising from linear filtering and estimation are nonlinear dynamical systems whose initial values are the statistics of the observation process. In this paper, we give a fairly complete description of the phase portrait for such nonlinear dynamical systems, as well as a special type of naturally related matrix Riccati equation.

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