Stable and Efficient Cubature-based Filtering in Dynamical Systems

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...

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Bibliographic Details
Main Author: Ballreich, Dominik
Format: eBook
Language:English
Published: Cham Springer International Publishing 2017, 2017
Edition:1st ed. 2017
Subjects:
Online Access:
Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
Description
Summary: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
Physical Description:XVII, 160 p. 19 illus., 14 illus. in color online resource
ISBN:9783319621302