Error estimate for the approximate solution to multivariate feedback particle filter

DOI10.4310/PAMQ.2022.V18.N3.A9MaRDI QIDQ2159161zbMATH OpenOpenAlexFDO

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

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)

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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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