A survey of numerical methods for nonlinear filtering problems
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Publication:2371190
extended Kalman filterKallianpur-Striebel formulanonlinear filteringnumerical examplesparticle filterssequential importance samplingstochastic dynamical systemstochastic evolution equations
Generation, random and stochastic difference and differential equations (37H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Filtering in stochastic control theory (93E11)
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Cites work
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Cited in
(39)- The diffusion kernel filter
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