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About Non-linear and non-normal filter based on Monte-Carlo technique
A non-linear and/or non-normal filter is proposed in this paper. Generating random draws of the state vector directly from the filtering density, the filtering estimate is obtained, which gives us a recursive algorithm. There, we do not evaluate any integration included in the density-based filtering algorithm such as the numerical integration procedure and the Monte-Carlo integration approach. The Monte-Carlo experiments indicate that the proposed non-linear and non-normal filter shows a good performance.
Detailed Information
| Author: | Hisashi Tanizaki |
|---|---|
| Publication Year: | 1997 |
| ISBN: | 137968 |
| Pages: | 17 |
| Language: | English |
| File Size: | 0.106 |
| Format: | |
| Price: | FREE |
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