Nonlinear filtering via stochastic PDE projection on mixture manifolds in $$L^2$$ L 2 direct metric
نویسندگان
چکیده
منابع مشابه
Stochastic filtering via L projection on mixture manifolds with computer algorithms and numerical examples
We examine some differential geometric approaches to finding approximate solutions to the continuous time nonlinear filtering problem. Our primary focus is a new projection method for the optimal filter infinite dimensional Stochastic Partial Differential Equation (SPDE), based on the direct L2 metric and on a family of normal mixtures. We compare this method to earlier projection methods based...
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ژورنال
عنوان ژورنال: Mathematics of Control, Signals, and Systems
سال: 2015
ISSN: 0932-4194,1435-568X
DOI: 10.1007/s00498-015-0154-1