Stable and Efficient Cubature-based Filtering in Dynamical Systems

• Main Author: Ballreich, Dominik (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2017.
• Subjects: Statistics.; Computer mathematics.; Vibration.; Dynamical systems.; Dynamics.; Econometrics.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Computational Mathematics and Numerical Analysis.; Vibration, Dynamical Systems, Control.; Statistical Physics and Dynamical Systems.

The book addresses the problem of calculation of d-dimensional integrals (conditional expectations) in filter problems. It develops new methods of deterministic numerical integration, which can be used to speed up and stabilize filter algorithms. With the help of these methods, better estimates and...

Table of Contents:

• Introduction
• Filtering in Dynamical Systems
• Deterministic Numerical Integration
• Optimization and Stabilization of Cubature Rules
• Simulation Studies
• Results
• Appendices
• Index
• Bibliography.