A deterministic filter for non-Gaussian Bayesian estimation -- Applications to dynamical system estimation with noisy measurements

DOI10.1016/j.physd.2012.01.001zbMath1237.62129OpenAlexW2054247041WikidataQ57524794 ScholiaQ57524794MaRDI QIDQ423042

Oliver Pajonk, Hermann G. Matthies, Alexander Litvinenko, Bojana V. Rosić

Publication date: 18 May 2012

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

Full work available at URL: https://doi.org/10.1016/j.physd.2012.01.001

zbMATH Keywords

inverse problemwhite noise analysisKalman filterpolynomial chaos expansion

Mathematics Subject Classification ID

Related Items (16)

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Uses Software

• EnKF
• Algorithm 862

Cites Work

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• Bayes Linear Statistics
• Stochastic finite elements: Computational approaches to stochastic partial differential equations
• Algorithm 862
• An efficient Bayesian inference approach to inverse problems based on an adaptive sparse grid collocation method
• Gaussian Hilbert Spaces
• The ensemble Kalman filter for combined state and parameter estimation
• Monte Carlo sampling methods using Markov chains and their applications
• Nonlinear Bayesian estimation using Gaussian sum approximations
• Data Assimilation
• Stochastic differential equations. An introduction with applications.

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