2 research outputs found
Convergence results for continuous-time adaptive stochastic filtering algorithms
AbstractThe 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