Stable and Efficient Cubature-based Filtering in Dynamical Systems
Dominik Ballreich
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Springer International Publishing
Naturwissenschaften, Medizin, Informatik, Technik / Wahrscheinlichkeitstheorie, Stochastik, Mathematische Statistik
Beschreibung
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.
Kundenbewertungen
Recursive Bayesian estimation, Deterministic numerical integration, Filtering in dynamical systems, State-space models, Smolyak cubature, Kalman filter, Smolyak cubature rules with an approximate degree of exactness, Lorenz model, Ginzburg-Landau model, Numerical integration, Six-dimentional coordinated turn model, Optimization and stabilization of cubature rules, Univariate non-stationary growth model, Maximum Likelihood estimation, Cubature Kalman filter