Stable and Efficient Cubature-based Filtering in Dynamical Systems

Ebook Details

Authors

Dominik Ballreich

Year 2017
Pages 160
Publisher Springer
Language en
ISBN 9783319621296
File Size 3.59 MB
File Format PDF
Download Counter 55
Amazon Link

Ebook Description

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.