Nonlinear Filters: Estimation and Applications - Couverture souple

Tanizaki, Hisashi

Couverture souple

ISBN 10 : 3540567720 ISBN 13 : 9783540567721

Editeur : Springer-Verlag Berlin and Heidelberg GmbH & Co. K, 1993

Synopsis

For a non-linear filtering problem, the easiest approximation is to use the Taylor series expansion and apply the conventional linear recursive Kalman filter algorithm directly to the linearized non-linear measurement and transition equations. In this monograph, a non-linear and non-normal filter is proposed by utilizing Monte Carlo integration, in which a recursive algorithm of the weighting functions is derived. The density approximation approach gives an asymptotically unbiased estimator. Moreover, in terms of programming and computational time, the non-linear filter using Monte-Carlo integration can be easily extended to higher dimensional cases, compared with Kitagawa's non-linear filter using numerical integration.

Détails de l'édition

• Éditeur: Springer-Verlag Berlin and Heidelberg GmbH & Co. K
• Date d'édition: 1993
• Langue: anglais
• ISBN 10: 3540567720
• ISBN 13: 9783540567721
• Reliure: Broché
• Nombre de pages: 215
• Coordonnées du fabricant: non disponible
• Personne responsable: non disponible