A survey of numerical methods for nonlinear filtering problems

DOI10.1016/j.physd.2006.08.015zbMath1114.65301OpenAlexW2090505239MaRDI QIDQ2371190

Chihoon Lee, Amarjit Budhiraja, Lingji Chen

Publication date: 29 June 2007

Published in: Physica D (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physd.2006.08.015

zbMATH Keywords

numerical examplesextended Kalman filternonlinear filteringparticle filtersstochastic dynamical systemstochastic evolution equationssequential importance samplingKallianpur-Striebel formula

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Generation, random and stochastic difference and differential equations (37H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Uses Software

• EnKF

Cites Work

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