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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Detalles Bibliográficos
Autor principal: Ballreich, Dominik
Lenguaje:eng
Publicado: Springer 2017
Materias:
Mathematical Physics and Mathematics
Acceso en línea:https://dx.doi.org/10.1007/978-3-319-62130-2
http://cds.cern.ch/record/2282077
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author Ballreich, Dominik
author_facet Ballreich, Dominik
author_sort Ballreich, Dominik
collection CERN
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.
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spelling cern-22820772021-04-21T19:05:08Zdoi:10.1007/978-3-319-62130-2http://cds.cern.ch/record/2282077engBallreich, DominikStable and efficient cubature-based filtering in dynamical systemsMathematical Physics and MathematicsThe 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.Springeroai:cds.cern.ch:22820772017
spellingShingle Mathematical Physics and Mathematics
Ballreich, Dominik
Stable and efficient cubature-based filtering in dynamical systems
title Stable and efficient cubature-based filtering in dynamical systems
title_full Stable and efficient cubature-based filtering in dynamical systems
title_fullStr Stable and efficient cubature-based filtering in dynamical systems
title_full_unstemmed Stable and efficient cubature-based filtering in dynamical systems
title_short Stable and efficient cubature-based filtering in dynamical systems
title_sort stable and efficient cubature-based filtering in dynamical systems
topic Mathematical Physics and Mathematics
url https://dx.doi.org/10.1007/978-3-319-62130-2
http://cds.cern.ch/record/2282077
work_keys_str_mv AT ballreichdominik stableandefficientcubaturebasedfilteringindynamicalsystems

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