Optimal smoothing of nonlinear dynamic systems via Monte Carlo Markov chains
DOI10.1016/j.automatica.2007.10.028zbMath1149.93343OpenAlexW2071937679MaRDI QIDQ958256
Bradley M. Bell, Gianluigi Pillonetto
Publication date: 3 December 2008
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2007.10.028
state estimationstochastic processesnonlinear time seriesBayesian estimationiterated Kalman smoothing filterstochastic fed-batch bioreactor
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)
Related Items
Uses Software
Cites Work
- Markov chains and stochastic stability
- Measure-valued processes and interacting particle systems. Application to nonlinear filtering problems
- Weak convergence and optimal scaling of random walk Metropolis algorithms
- Parameter estimation in stochastic grey-box models.
- Optimal scaling for various Metropolis-Hastings algorithms.
- Bayes and empirical Bayes semi-blind deconvolution using eigenfunctions of a prior covariance
- The marginal likelihood for parameters in a discrete Gauss-Markov process
- On Gibbs sampling for state space models
- Monte Carlo Smoothing for Nonlinear Time Series
- Monte Carlo sampling methods using Markov chains and their applications
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Optimal smoothing of nonlinear dynamic systems via Monte Carlo Markov chains