Interpolation and Iteration for Nonlinear Filters
Numerical Analysis
2009-10-20 v1 Statistics Theory
Statistics Theory
Abstract
We present a general form of the iteration and interpolation process used in implicit particle filters. Implicit filters are based on a pseudo-Gaussian representation of posterior densities, and are designed to focus the particle paths so as to reduce the number of particles needed in nonlinear data assimilation. Examples are given.
Keywords
Cite
@article{arxiv.0910.3241,
title = {Interpolation and Iteration for Nonlinear Filters},
author = {Alexandre J. Chorin and Xuemin Tu},
journal= {arXiv preprint arXiv:0910.3241},
year = {2009}
}