A Girsanov particle filter in nonlinear engineering dynamics

DOI10.1016/J.PHYSLETA.2008.12.024MaRDI QIDQ649694zbMATH OpenOpenAlexWikidataFDO

Authors Juan-Miguel Gracia

Publication date 5 December 2011

Published in Physics Letters. A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physleta.2008.12.024

zbMATH Keywords

Girsanov transformationstochastic filteringlocal linearizationstate and parameter estimationsweak Monte Carlo simulations

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Generation, random and stochastic difference and differential equations (37H10) Stochastic analysis applied to problems in fluid mechanics (76M35) Flows in porous media; filtration; seepage (76S05)

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Cites work

• scientific article; zbMATH DE number 3718234 (Why is no real title available?)
• scientific article; zbMATH DE number 2061746 (Why is no real title available?)
• scientific article; zbMATH DE number 940582 (Why is no real title available?)
• Explorations of a family of stochastic Newmark methods in engineering dynamics
• Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations
• Sequential Monte Carlo Methods in Practice
• Simulation of stochastic differential equations through the local linearization method. A comparative study

Cited in

(4)

• Gradient iterative algorithm for dual-rate nonlinear systems based on a novel particle filter
• Use of particle filters in an active control algorithm for noisy nonlinear structural dynamical systems
• A particle filter-based framework for real-time state estimation of a non-linear hyperbolic PDE system describing transient flows in \(\mathrm{CO}_2\) pipelines
• A novel filtering framework through Girsanov correction for the identification of nonlinear dynamical systems

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