Comparative analysis of particle filters for stochastic systems with continuous and discrete time

DOI10.1134/S1064230722050112OpenAlexW4303520948MaRDI QIDQ2695101FDOQ2695101

Authors: I. A. Kudryavtseva, K. A. Rybakov 

Publication date: 30 March 2023

Published in: Journal of Computer and Systems Sciences International (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s1064230722050112

Mathematics Subject Classification ID

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

Cites Work

• SDE-MATH: a software package for the implementation of strong high-order numerical methods for Ito SDEs with multidimensional non-commutative noise based on multiple Fourier-Legendre series
• Sequential Monte Carlo Methods in Practice
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• Fundamentals of stochastic filtering
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• Optimal nonlinear recurrent finite memory filter
• Mean-square approximation of iterated Ito and Stratonovich stochastic integrals: method of generalized multiple Fourier series. Application to numerical integration of Ito SDEs and semilinear SPDEs

Uses Software

• SDE-MATH

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