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.
Mots-clés : implicit sampling, filter, reference density, jacobian, iteration, particles
@article{M2AN_2012__46_3_535_0,
author = {Chorin, Alexandre J. and Tu, Xuemin},
title = {An iterative implementation of the implicit nonlinear filter},
journal = {ESAIM: Mathematical Modelling and Numerical Analysis },
pages = {535--543},
publisher = {EDP-Sciences},
volume = {46},
number = {3},
year = {2012},
doi = {10.1051/m2an/2011055},
language = {en},
url = {http://www.numdam.org/articles/10.1051/m2an/2011055/}
}
TY - JOUR AU - Chorin, Alexandre J. AU - Tu, Xuemin TI - An iterative implementation of the implicit nonlinear filter JO - ESAIM: Mathematical Modelling and Numerical Analysis PY - 2012 SP - 535 EP - 543 VL - 46 IS - 3 PB - EDP-Sciences UR - http://www.numdam.org/articles/10.1051/m2an/2011055/ DO - 10.1051/m2an/2011055 LA - en ID - M2AN_2012__46_3_535_0 ER -
%0 Journal Article %A Chorin, Alexandre J. %A Tu, Xuemin %T An iterative implementation of the implicit nonlinear filter %J ESAIM: Mathematical Modelling and Numerical Analysis %D 2012 %P 535-543 %V 46 %N 3 %I EDP-Sciences %U http://www.numdam.org/articles/10.1051/m2an/2011055/ %R 10.1051/m2an/2011055 %G en %F M2AN_2012__46_3_535_0
Chorin, Alexandre J.; Tu, Xuemin. An iterative implementation of the implicit nonlinear filter. ESAIM: Mathematical Modelling and Numerical Analysis , Special volume in honor of Professor David Gottlieb. Numéro spécial, Tome 46 (2012) no. 3, pp. 535-543. doi : 10.1051/m2an/2011055. http://www.numdam.org/articles/10.1051/m2an/2011055/
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