An iterative implementation of the implicit nonlinear filter

Alexandre J. Chorin; Xuemin Tu

ESAIM: Mathematical Modelling and Numerical Analysis (2012)

  • Volume: 46, Issue: 3, page 535-543
  • ISSN: 0764-583X

Abstract

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Implicit sampling is a sampling scheme for particle filters, designed to move particles one-by-one so that they remain in high-probability domains. We present a new derivation of implicit sampling, as well as a new iteration method for solving the resulting algebraic equations.

How to cite

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Chorin, Alexandre J., and Tu, Xuemin. "An iterative implementation of the implicit nonlinear filter." ESAIM: Mathematical Modelling and Numerical Analysis 46.3 (2012): 535-543. <http://eudml.org/doc/222118>.

@article{Chorin2012,
abstract = {Implicit sampling is a sampling scheme for particle filters, designed to move particles one-by-one so that they remain in high-probability domains. We present a new derivation of implicit sampling, as well as a new iteration method for solving the resulting algebraic equations.},
author = {Chorin, Alexandre J., Tu, Xuemin},
journal = {ESAIM: Mathematical Modelling and Numerical Analysis},
keywords = {Implicit sampling; filter; reference density; Jacobian; iteration; particles; implicit sampling},
language = {eng},
month = {1},
number = {3},
pages = {535-543},
publisher = {EDP Sciences},
title = {An iterative implementation of the implicit nonlinear filter},
url = {http://eudml.org/doc/222118},
volume = {46},
year = {2012},
}

TY - JOUR
AU - Chorin, Alexandre J.
AU - Tu, Xuemin
TI - An iterative implementation of the implicit nonlinear filter
JO - ESAIM: Mathematical Modelling and Numerical Analysis
DA - 2012/1//
PB - EDP Sciences
VL - 46
IS - 3
SP - 535
EP - 543
AB - Implicit sampling is a sampling scheme for particle filters, designed to move particles one-by-one so that they remain in high-probability domains. We present a new derivation of implicit sampling, as well as a new iteration method for solving the resulting algebraic equations.
LA - eng
KW - Implicit sampling; filter; reference density; Jacobian; iteration; particles; implicit sampling
UR - http://eudml.org/doc/222118
ER -

References

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