Nonlinear Filters: Estimation and Applications: v. 400 (Lecture Notes in Economics and Mathematical Systems) - Softcover

Tanizaki, Hisashi

 
9783540567721: Nonlinear Filters: Estimation and Applications: v. 400 (Lecture Notes in Economics and Mathematical Systems)
Softcover
ISBN 10: 3540567720 ISBN 13: 9783540567721
Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. K, 1993

Synopsis

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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Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Publication date
1993
Language
English
ISBN 10 
3540567720
ISBN 13 
9783540567721
Binding
Paperback
Number of pages
215

Other Popular Editions of the Same Title

9780387567723: Nonlinear Filters: Estimation and Applications (Lecture Notes in Economics & Mathematical Systems)

Featured Edition

ISBN 10:  0387567720 ISBN 13:  9780387567723
Publisher: Springer Verlag, 1993
Softcover