Generalised particle filters with Gaussian mixtures

DOI10.1016/j.spa.2015.01.008zbMath1327.60096arXiv1306.0255OpenAlexW2139009383MaRDI QIDQ2348297

Yanyan Li

Publication date: 11 June 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1306.0255

zbMATH Keywords

Gaussian mixturesstochastic partial differential equationparticle filtersZakai equationstochastic filtering\(L^2\)-convergence

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Random measures (60G57) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) (L^p)-limit theorems (60F25)

Related Items (2)

Strong tracking filtering algorithm of randomly delayed measurements for nonlinear systems ⋮ A surrogate-based approach to nonlinear, non-Gaussian joint state-parameter data assimilation

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