| Issue |
ESAIM: M2AN
Volume 46, Number 3, May-June 2012
Special volume in honor of Professor David Gottlieb
|
|
|---|---|---|
| Page(s) | 535 - 543 | |
| DOI | https://doi.org/10.1051/m2an/2011055 | |
| Published online | 11 January 2012 | |
An iterative implementation of the implicit nonlinear filter
1
Department of Mathematics, University of California at Berkeley
and Lawrence Berkeley National Laboratory, 970 Evans Hall #3840, Berkeley, 94720-3840
CA,
USA
chorin@math.berkeley.edu
2
Department of Mathematics, University of Kansas,
405 Snow Hall, 1460 Jayhawk Blvd,
Lawrence, 66045-7594
Kansas,
USA
xtu@math.ku.edu
Received: 24 September 2009
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.
Mathematics Subject Classification: 60G35 / 62M20 / 86A05
Key words: Implicit sampling / filter / reference density / Jacobian / iteration / particles
© EDP Sciences, SMAI, 2012
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