The Hitchhiker's guide to nonlinear filtering

DOI10.1016/J.JMP.2019.102307zbMATH Open1437.93132arXiv1903.09247OpenAlexW2996936935MaRDI QIDQ2176457FDOQ2176457

Authors: Anna Kutschireiter, Simone Carlo Surace, Jean-Pascal Pfister 

Publication date: 4 May 2020

Published in: Journal of Mathematical Psychology (Search for Journal in Brave)

Abstract: Nonlinear filtering is the problem of online estimation of a dynamic hidden variable from incoming data and has vast applications in different fields, ranging from engineering, machine learning, economic science and natural sciences. We start our review of the theory on nonlinear filtering from the simplest `filtering' task we can think of, namely static Bayesian inference. From there we continue our journey through discrete-time models, which is usually encountered in machine learning, and generalize to and further emphasize continuous-time filtering theory. The idea of changing the probability measure connects and elucidates several aspects of the theory, such as the parallels between the discrete- and continuous-time problems and between different observation models. Furthermore, it gives insight into the construction of particle filtering algorithms. This tutorial is targeted at scientists and engineers and should serve as an introduction to the main ideas of nonlinear filtering, and as a segway to more advanced and specialized literature.

Full work available at URL: https://arxiv.org/abs/1903.09247

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zbMATH Keywords

Bayesian inferencechange of measurenonlinear filtering theoryparticle filters

Mathematics Subject Classification ID

Bayesian inference (62F15) Filtering in stochastic control theory (93E11) Discrete-time control/observation systems (93C55)

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Uses Software

• PRMLT

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