Stable and Efficient Cubature-based Filtering in Dynamical Systems, Softcover reprint of the original 1st ed. 2017
Auteur : Ballreich Dominik
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.
Introduction.- Filtering in Dynamical Systems.- Deterministic Numerical Integration.- Optimization and Stabilization of Cubature Rules.- Simulation Studies.- Results.- Appendices.- Index.- Bibliography.
Date de parution : 05-2018
Ouvrage de 160 p.
15.5x23.5 cm
Date de parution : 09-2017
Ouvrage de 160 p.
15.5x23.5 cm
Thèmes de Stable and Efficient Cubature-based Filtering in... :
Mots-clés :
Kalman filter; Recursive Bayesian estimation; State-space models; Smolyak cubature; Numerical integration; Cubature Kalman filter; Maximum Likelihood estimation; Deterministic numerical integration; Univariate non-stationary growth model; Six-dimentional coordinated turn model; Lorenz model; Ginzburg-Landau model; Optimization and stabilization of cubature rules; Smolyak cubature rules with an approximate degree of exactness; Filtering in dynamical systems
