An iterative implementation of the implicit nonlinear filter
Chorin, Alexandre J. ; Tu, Xuemin
ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique, Tome 46 (2012), p. 535-543 / Harvested from Numdam
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Implicit sampling is a sampling scheme for particle filters, designed to move particles one-by-one so that they remain in high-probability domains. We present a new derivation of implicit sampling, as well as a new iteration method for solving the resulting algebraic equations.

Publié le : 2012-01-01
DOI : https://doi.org/10.1051/m2an/2011055
Classification:  60G35,  62M20,  86A05 
@article{M2AN_2012__46_3_535_0,
     author = {Chorin, Alexandre J. and Tu, Xuemin},
     title = {An iterative implementation of the implicit nonlinear filter},
     journal = {ESAIM: Mathematical Modelling and Numerical Analysis - Mod\'elisation Math\'ematique et Analyse Num\'erique},
     volume = {46},
     year = {2012},
     pages = {535-543},
     doi = {10.1051/m2an/2011055},
     language = {en},
     url = {http://dml.mathdoc.fr/item/M2AN_2012__46_3_535_0}
}

Chorin, Alexandre J.; Tu, Xuemin. An iterative implementation of the implicit nonlinear filter. ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique, Tome 46 (2012) pp. 535-543. doi : 10.1051/m2an/2011055. http://gdmltest.u-ga.fr/item/M2AN_2012__46_3_535_0/

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