Stabilized BFGS approximate Kalman filter

DOI10.3934/IPI.2015.9.1003MaRDI QIDQ256092zbMATH OpenOpenAlexFDO

Authors Alexander Bibov, Antti Solonen, Heikki Haario

Publication date 9 March 2016

Published in Inverse Problems and Imaging (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.3934/ipi.2015.9.1003

zbMATH Keywords

extended Kalman filterapproximate Kalman filterBFGS updatechaotic dynamicslow-memory storageNewton-Schultz matrix inversion formulaeobservation-deficient inversion

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Direct numerical methods for linear systems and matrix inversion (65F05) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

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Cites work

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• Factorization methods for discrete sequential estimation
• Krylov space approximate Kalman filtering
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• Numerical Optimization
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• The variational Kalman filter and an efficient implementation using limited memory BFGS

Cited in

(6)

• Krylov space approximate Kalman filtering
• Large-scale Kalman filtering using the limited memory BFGS method
• Variational ensemble Kalman filtering using limited memory BFGS
• The variational Kalman filter and an efficient implementation using limited memory BFGS
• Fast Kalman filter using hierarchical matrices and a low-rank perturbative approach
• An efficient approximation of the Kalman filter for multiple systems coupled via low-dimensional stochastic input

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