Stable Approximation Schemes for Optimal Filters

Abstract

A stable filter has the property that it asymptotically “forgets" initial perturbations. As a result of this property, it is possible to construct approximations of such filters whose errors remain small in time, in other words approximations that are uniformly convergent in the time variable. As uniform approximations are ideal from a practical perspective, finding criteria for filter stability has been the subject of many papers. In this paper, we seek to construct approximate filters that stay close to a given (possibly) unstable filter. Such filters are obtained through a general truncation scheme and, under certain constraints, are stable. The construction enables us to give a characterization of the topological properties of the set of optimal filters. In particular, we introduce a natural topology on this set, under which the subset of stable filters is dense.