A Girsanov particle filter in nonlinear engineering dynamics

DOI10.1016/J.PHYSLETA.2008.12.024zbMATH Open1227.76061OpenAlexW2017948334WikidataQ60585172 ScholiaQ60585172MaRDI QIDQ649694FDOQ649694

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

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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)

Cites Work

• Sequential Monte Carlo Methods in Practice
• Title not available (Why is that?)
• Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations
• Title not available (Why is that?)
• Simulation of stochastic differential equations through the local linearization method. A comparative study
• Title not available (Why is that?)
• Explorations of a family of stochastic Newmark methods in engineering dynamics

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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