RT Journal Article
ID 34cec7c24084be58
A1 Bao, Feng
A1 Cao, Yanzhao
A1 Webster, Clayton G.
A1 Zhang, Guannan 
T1 AN EFFICIENT MESH-FREE IMPLICIT FILTER FOR NONLINEAR FILTERING PROBLEMS
JF International Journal for Uncertainty Quantification
JO IJUQ
YR 2016
FD 2016-08-16
VO 6
IS 1
SP 19
OP 33
K1 nonlinear filtering
K1 implicit algorithm
K1 mesh-free approximation
K1 Shepard's method
 
AB In this paper, we propose a mesh-free approximation method for the implicit filter developed in Bao et al., Commun. Comput. Phys., 16(2):382-402, 2014, which is a novel numerical algorithm for nonlinear filtering problems. The implicit filter approximates conditional distributions in the optimal filter over a deterministic state space grid and is developed from samples of the current state obtained by solving the state equation implicitly. The purpose of the mesh-free approximation is to improve the efficiency of the implicit filter in moderately high-dimensional problems. The construction of the algorithm includes generation of random state space points and a mesh-free interpolation method. Numerical experiments show the effectiveness and efficiency of our algorithm.


PB Begell House
LK https://www.dl.begellhouse.com/journals/52034eb04b657aea,6695b1fe0a01e538,34cec7c24084be58.html