Optimal quantization methods for nonlinear filtering with discrete-time observations

DOI10.3150/bj/1130077599zbMath1084.62095OpenAlexW2005794026MaRDI QIDQ817977

Gilles Pagès, Huyên Pham

Publication date: 23 March 2006

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3150/bj/1130077599

zbMATH Keywords

Markov chainnumerical approximationvector quantizationEuler schemestochastic gradient descentstationary signal

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Monte Carlo methods (65C05) Signal detection and filtering (aspects of stochastic processes) (60G35)

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