Volume 46, Number 3, May-June 2012Special volume in honor of Professor David Gottlieb
|Page(s)||535 - 543|
|Published online||11 January 2012|
An iterative implementation of the implicit nonlinear filter
Department of Mathematics, University of California at Berkeley
and Lawrence Berkeley National Laboratory, 970 Evans Hall #3840, Berkeley, 94720-3840
2 Department of Mathematics, University of Kansas, 405 Snow Hall, 1460 Jayhawk Blvd, Lawrence, 66045-7594 Kansas, USA
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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