Description
Stable and Efficient Cubature-based Filtering in Dynamical Systems, Softcover reprint of the original 1st ed. 2017
Author: Ballreich Dominik
Language: EnglishSubjects for Stable and Efficient Cubature-based Filtering in...:
Keywords
Kalman filter; Recursive Bayesian estimation; State-space models; Smolyak cubature; Numerical integration; Cubature Kalman filter; Maximum Likelihood estimation; Deterministic numerical integration; Univariate non-stationary growth model; Six-dimentional coordinated turn model; Lorenz model; Ginzburg-Landau model; Optimization and stabilization of cubature rules; Smolyak cubature rules with an approximate degree of exactness; Filtering in dynamical systems
Publication date: 05-2018
Support: Print on demand
Publication date: 09-2017
Support: Print on demand
Description
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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.
Introduction.- Filtering in Dynamical Systems.- Deterministic Numerical Integration.- Optimization and Stabilization of Cubature Rules.- Simulation Studies.- Results.- Appendices.- Index.- Bibliography.