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
Access Full Article
top
Abstract
topHow to cite
topChorin, 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
top- M. Arulampalam, S. Maskell, N. Gordon and T. Clapp, A tutorial on particle filters for online nonlinear/nongaussian Bayesia tracking. IEEE Trans. Signal Process.50 (2002) 174–188.
- P. Bickel, B. Li and T. Bengtsson, Sharp failure rates for the bootstrap particle filter in high dimensions. IMS Collections : Pushing the Limits of Contemporary Statistics : Contributions in Honor of Jayanta K. Ghosh3 (2008) 318–329.
- S. Bozic, Digital and Kalman Filtering. Butterworth-Heinemann, Oxford (1994).
- A.J. Chorin and P. Krause, Dimensional reduction for a Bayesian filter. Proc. Natl. Acad. Sci. USA101 (2004) 15013–15017.
- A.J. Chorin and X. Tu, Implicit sampling for particle filters. Proc. Natl. Acad. Sc. USA106 (2009) 17249–17254.
- A.J. Chorin, M. Morzfeld and X. Tu, Implicit particle filters for data assimilation. Commun. Appl. Math. Comput. Sci.5 (2010) 221–240.
- A. Doucet and A. Johansen, Particle filtering and smoothing : Fifteen years later, in Handbook of Nonlinear Filtering, edited by D. Crisan and B. Rozovsky, to appear.
- A. Doucet, S. Godsill and C. Andrieu, On sequential Monte Carlo sampling methods for Bayesian filtering. Stat. Comput.10 (2000) 197–208.
- A. Doucet, N. de Freitas and N. Gordon, Sequential Monte Carlo Methods in Practice. Springer, New York (2001).
- M. Dowd, A sequential Monte Carlo approach for marine ecological prediction. Environmetrics17 (2006) 435–455.
- W. Gilks and C. Berzuini, Following a moving target-Monte Carlo inference for dynamic Bayesian models. J. Roy. Statist. Soc. B63 (2001) 127–146.
- J. Liu and C. Sabatti, Generalized Gibbs sampler and multigrid Monte Carlo for Bayesian computation. Biometrika87 (2000) 353–369.
- S. Maceachern, M. Clyde and J. Liu, Sequential importance sampling for nonparametric Bayes models : the next generation. Can. J. Stat.27 (1999) 251–267.
- M. Morzfeld, X. Tu, E. Atkins and A.J. Chorin, A random map implementation of implicit filters. Submitted to J. Comput. Phys.
- C. Snyder, T. Bengtsson, P. Bickel and J. Anderson, Obstacles to high-dimensional particle filtering. Mon. Weather Rev.136 (2008) 4629–4640.
NotesEmbed ?
topYou must be logged in to post comments.
To embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.