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The Adaptive Patched Cubature Filter and Its Implementation by Lee, Wonjung; Lyons, Terry is a scholarly article available to read on EtoBox.

What is The Adaptive Patched Cubature Filter and Its Implementation about?

There are numerous contexts where one wishes to describe the state of a randomly evolving system. Effective solutions combine models that quantify the underlying uncertainty with available observational data to form scientifically reasonable estimates for the uncertainty in the system state. Stochastic differential equations are often used to mathematically model the underlying system. The Kusuoka-Lyons-Victoir (KLV) approach is a higher order particle method for approximating the weak solution of a stochastic differential equation that uses a weighted set of scenarios to approximate the evolving probability distribution to a high order of accuracy. The algorithm can be performed by integrating along a number of carefully selected bounded variation paths. The iterated application of the KLV method has a tendency for the number of particles to increase. This can be addressed and, together with local dynamic recombination, which simplifies the support of discrete measure without harming the accuracy of the approximation, the KLV method becomes eligible to solve the filtering problem in contexts where one desires to maintain an accurate description of the ever-evolving conditioned mea

Author

Lee, Wonjung; Lyons, Terry

Published

2015

Language

EN