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

DOI10.1134/S1064230722050112MaRDI QIDQ2695101zbMATH OpenOpenAlexFDO

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

• scientific article; zbMATH DE number 3669505 (Why is no real title available?)
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• scientific article; zbMATH DE number 2114382 (Why is no real title available?)
• Fundamentals of stochastic filtering
• 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
• Optimal nonlinear recurrent finite memory filter
• 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

Describes a project that uses

Uses Software

• SDE-MATH

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