An efficient mesh-free implicit filter for nonlinear filtering problems

Feng Bao, Yanzhao Cao, Clayton Webster, Guannan Zhang

Research output: Contribution to journalArticlepeer-review

Abstract

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 meshfree 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.

Original languageEnglish
Pages (from-to)19-33
Number of pages15
JournalInternational Journal for Uncertainty Quantification
Volume6
Issue number1
DOIs
StatePublished - 2016

Keywords

  • Implicit algorithm
  • Mesh-free approximation
  • Nonlinear filtering
  • Shepard’s method

Fingerprint

Dive into the research topics of 'An efficient mesh-free implicit filter for nonlinear filtering problems'. Together they form a unique fingerprint.

Cite this