Interpolation and Iteration for Nonlinear Filters
classification
🧮 math.NA
math.STstat.TH
keywords
filtersimplicitinterpolationiterationnonlinearparticleassimilationdata
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We present a general form of the iteration and interpolation process used in implicit particle filters. Implicit filters are based on a pseudo-Gaussian representation of posterior densities, and are designed to focus the particle paths so as to reduce the number of particles needed in nonlinear data assimilation. Examples are given.
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