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On the Projective Geometry of Kalman Filter by Carli, Francesca Paola; Sepulchre, Rodolphe is a scholarly article available to read on EtoBox.

What is On the Projective Geometry of Kalman Filter about?

Convergence of the Kalman filter is best analyzed by studying the contraction of the Riccati map in the space of positive definite (covariance) matrices. In this paper, we explore how this contraction property relates to a more fundamental non-expansiveness property of filtering maps in the space of probability distributions endowed with the Hilbert metric. This is viewed as a preliminary step towards improving the convergence analysis of filtering algorithms over general graphical models.

Author

Carli, Francesca Paola; Sepulchre, Rodolphe

Published

2015

Language

EN