uu.seUppsala University Publications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Generalised particle filters with Gaussian mixtures
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics, Analysis and Probability Theory.
2015 (English)In: Stochastic Processes and their Applications, ISSN 0304-4149, E-ISSN 1879-209X, Vol. 125, no 7, 2643-2673 p.Article in journal (Refereed) Published
Abstract [en]

Stochastic filtering is defined as the estimation of a partially observed dynamical system. Approximating the solution of the filtering problem with Gaussian mixtures has been a very popular method since the 1970s. Despite nearly fifty years of development, the existing work is based on the success of the numerical implementation and is not theoretically justified. This paper fills this gap and contains a rigorous analysis of a new Gaussian mixture approximation to the solution of the filtering problem. We deduce the L-2-convergence rate for the approximating system and show some numerical examples to test the new algorithm.

Place, publisher, year, edition, pages
2015. Vol. 125, no 7, 2643-2673 p.
Keyword [en]
Stochastic partial differential equation, Nonlinear filtering, Zakai equation, Particle filters, Gaussian mixtures, L-2-convergence
National Category
Mathematics
Identifiers
URN: urn:nbn:se:uu:diva-253224DOI: 10.1016/j.spa.2015.01.008ISI: 000353602000005OAI: oai:DiVA.org:uu-253224DiVA: diva2:824623
Available from: 2015-06-22 Created: 2015-05-25 Last updated: 2017-12-04Bibliographically approved

Open Access in DiVA

No full text

Other links

Publisher's full text

Authority records BETA

Li, Kai

Search in DiVA

By author/editor
Li, Kai
By organisation
Analysis and Probability Theory
In the same journal
Stochastic Processes and their Applications
Mathematics

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 418 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf