Error estimate for the approximate solution to multivariate feedback particle filter

DOI10.4310/PAMQ.2022.V18.N3.A9zbMATH Open1496.65008OpenAlexW4286823458MaRDI QIDQ2159161FDOQ2159161

Authors: Wenhui Dong, Xingbao Gao 

Publication date: 28 July 2022

Published in: Pure and Applied Mathematics Quarterly (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/pamq.2022.v18.n3.a9

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• Multivariable feedback particle filter
• On the stability of linear feedback particle filter
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zbMATH Keywords

error estimateforward Kolmogorov equationBrownian bridgesfeedback particle filter

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical solutions to stochastic differential and integral equations (65C30)

Cited In (7)

• Particle filtering based parameter estimation for systems with output-error type model structures
• On the stability of linear feedback particle filter
• Multivariate feedback particle filter rederived from the splitting-up scheme
• Multivariable feedback particle filter
• Diffusion map-based algorithm for gain function approximation in the feedback particle filter
• Analysis of the feedback particle filter with diffusion map based approximation of the gain
• General convergence result for continuous-discrete feedback particle filter

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