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An iterative implementation of the implicit nonlinear filter

Published online by Cambridge University Press:  11 January 2012

Alexandre J. Chorin
Affiliation:
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
Xuemin Tu
Affiliation:
Department of Mathematics, University of Kansas, 405 Snow Hall, 1460 Jayhawk Blvd, Lawrence, 66045-7594 Kansas, USA; xtu@math.ku.edu
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Abstract

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.

Type
Research Article
Copyright
© EDP Sciences, SMAI, 2012

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