In the paper we study interacting particle approximations of
discrete time and measure-valued dynamical systems. These systems have arisen
in such diverse scientific disciplines as physics and signal processing. We
give conditions for the so-called particle density profiles to converge to the
desired distribution when the number of particles is growing. The strength of
our approach is that is applicable to a large class of measure-valued dynamical
systems arising in engineering and particularly in nonlinear filtering
problems. Our second objective is to use these results to solve numerically the
nonlinear filtering equation. Examples arising in fluid mechanics are also
given.
Publié le : 1998-05-14
Classification:
Nonlinear filtering,
measure-valued processes,
interacting and branching particle systems,
genetic algorithms,
60G57,
60K35,
60G35,
93E11
@article{1028903535,
author = {Del Moral, P.},
title = {Measure-valued processes and interacting particle systems.
Application to nonlinear filtering problems},
journal = {Ann. Appl. Probab.},
volume = {8},
number = {1},
year = {1998},
pages = { 438-495},
language = {en},
url = {http://dml.mathdoc.fr/item/1028903535}
}
Del Moral, P. Measure-valued processes and interacting particle systems.
Application to nonlinear filtering problems. Ann. Appl. Probab., Tome 8 (1998) no. 1, pp. 438-495. http://gdmltest.u-ga.fr/item/1028903535/