A maximum entropy method for particle filtering

DOI10.1007/S10955-006-9124-9zbMATH Open1138.94339OpenAlexW1971615463MaRDI QIDQ852048FDOQ852048

Authors: Sangil Kim, Gregory Eyink 

Publication date: 27 November 2006

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10955-006-9124-9

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zbMATH Keywords

mixture modelsBayesian estimationfilteringparticle methodsensemble Kalman filtermaximum-entropy

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Strange attractors, chaotic dynamics of systems with hyperbolic behavior (37D45) Stochastic particle methods (65C35) Sampling theory in information and communication theory (94A20)

Cites Work

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Cited In (9)

• State estimation using the particle filter with mode tracking
• Particle filters for continuous likelihood evaluation and maximisation
• Sampling the posterior: an approach to non-Gaussian data assimilation
• Bridging the ensemble Kalman and particle filters
• Efficient estimation and particle filter for max-stable processes
• Moment preserving constrained resampling with applications to particle-in-cell methods
• Particles resampling scheme using regularized optimal transport for sequential Monte Carlo filters
• Information theory and dynamical system predictability
• \(q\)-calculus formalism for non-extensive particle filter

Uses Software

• EnKF
• KernSmooth
• RODES

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