Adaptive sparse-grid Gauss-Hermite filter

DOI10.1016/j.cam.2018.04.006zbMath1439.93022arXiv1803.09272OpenAlexW2963013848WikidataQ129909078 ScholiaQ129909078MaRDI QIDQ1639552

Rahul Radhakrishnan, Abhinoy Kumar Singh, Shovan Bhaumik, Paresh Date

Publication date: 13 June 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.09272

zbMATH Keywords

nonlinear filteringproduct rulecomplexity reductionadaptive sparse-gridGauss-Hermite quadrature ruleSmolyak rule

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Stability theory for difference equations (39A30) Numerical methods for functional equations (65Q20)

Related Items (1)

Gaussian kernel quadrature Kalman filter

Cites Work

• Unnamed Item
• Numerical integration using sparse grids
• Dimension-adaptive tensor-product quadrature
• Sparse-grid quadrature nonlinear filtering
• Estimation and tracking of complex-valued quasi-periodically varying systems
• Multiple Quadrature Kalman Filtering
• Cubature Kalman Filters

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