Nonlinear filters : estimation and applications
Author(s)
Bibliographic Information
Nonlinear filters : estimation and applications
(Lecture notes in economics and mathematical systems, 400)
Springer-Verlag, 1993
- : gw
- : us
Available at / 51 libraries
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Research Institute for Economics & Business Administration (RIEB) Library , Kobe University図書
: gw519.5-22081201200088
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Hokkaido University, Faculty and Graduate School of Engineering図書
: gwDC20:629.7/L4973570387295
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Note
Rev. of thesis (Ph.D.)--University of Pennsylvania, 1991
Includes bibliographical references
Description and Table of Contents
Description
For a non-linear filtering problem, the easiest approximation is to use the Taylor series expansion and apply the conventional linear recursive Kalman filter algorithm directly to the linearized non-linear measurement and transition equations. In this monograph, a non-linear and non-normal filter is proposed by utilizing Monte Carlo integration, in which a recursive algorithm of the weighting functions is derived. The density approximation approach gives an asymptotically unbiased estimator. Moreover, in terms of programming and computational time, the non-linear filter using Monte-Carlo integration can be easily extended to higher dimensional cases, compared with Kitagawa's non-linear filter using numerical integration.
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