An iterative implementation of the implicit nonlinear filter

Chorin, Alexandre J.; Tu, Xuemin

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Issue Date

2012-03-02

Author

Chorin, Alexandre J.

Tu, Xuemin

Publisher

EDP Sciences

Type

Article

Article Version

Scholarly/refereed, publisher version

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Abstract

Implicit sampling is a sampling scheme for particle filters, designed to move particles one-by-one so that they remain in high-probability domains. We present a new derivation of implicit sampling, as well as a new iteration method for solving the resulting algebraic equations.

Description

This is the published version, also available here: http://dx.doi.org/10.1051/m2an/2011055.

Citation

Chorin, Alexandre J. & Tu, Xuemin. "An iterative implementation of the implicit nonlinear filter." ESAIM: M2AN Volume 46, Number 3, May-June 2012 535 - 543. http://dx.doi.org/10.1051/m2an/2011055.

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