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Regularized Particle Filter with Langevin Resampling Step

Abstract:

The solution of an inverse problem involves the estimation of variables and parameters values given by the state-space system. While a general (infinite-dimensional) optimal filter theory [1, 2] exists for nonlinear systems with Gaussian or non-Gaussian noise, applications rely on (finite-dimensional) suboptimal approximations to the optimal filter for practical implementations. The most widely-studied filters of this kind include the Regularized Particle Filter (RPF) [3, 4] and the Ensemble ...

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Publisher copy:
10.1063/1.3497827

Authors


Farmer, CL More by this author
More by this author
Institution:
University of Oxford
Department:
Oxford, MPLS, Mathematical Inst

Contributors

Role:
Editor
Role:
Editor
Role:
Editor
Publisher:
AMER INST PHYSICS
Volume:
1281
Pages:
1080-1083
Publication date:
2010
DOI:
EISSN:
1551-7616
ISSN:
0094-243X
URN:
uuid:c5cb0fe9-88c0-461a-b2ce-b57696e26e4b
Source identifiers:
132358
Local pid:
pubs:132358
ISBN:
978-0-7354-0834-0

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