Diffusion Map-based Algorithm for Gain Function Approximation in the Feedback Particle Filter
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Publication:5119640
DOI10.1137/19M124513XzbMath1451.65225arXiv1902.07263WikidataQ110649517 ScholiaQ110649517MaRDI QIDQ5119640
Prashant G. Mehta, Amirhossein Taghvaei, Sean P. Meyn
Publication date: 31 August 2020
Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1902.07263
65N75: Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs
93E11: Filtering in stochastic control theory
65N15: Error bounds for boundary value problems involving PDEs
35J05: Laplace operator, Helmholtz equation (reduced wave equation), Poisson equation
65C30: Numerical solutions to stochastic differential and integral equations
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