Stable and Efficient Cubature-based Filtering in Dynamical Systems

Paperback Engels 2018 9783319872391
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The book addresses the problem of calculation of d-dimensional integrals (conditional expectations) in filter problems. It develops new methods of deterministic numerical integration, which can be used to speed up and stabilize filter algorithms. With the help of these methods, better estimates and predictions of latent variables are made possible in the fields of economics, engineering and physics. The resulting procedures are tested within four detailed simulation studies.

Specificaties

ISBN13:9783319872391
Taal:Engels
Bindwijze:paperback
Uitgever:Springer International Publishing

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Inhoudsopgave

<p>Introduction.- Filtering in Dynamical Systems.- Deterministic Numerical Integration.- Optimization and Stabilization of Cubature Rules.- Simulation Studies.- Results.- Appendices.- Index.- Bibliography.</p>

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        Stable and Efficient Cubature-based Filtering in Dynamical Systems