Mathematics – Numerical Analysis
Scientific paper
2009-10-16
Mathematics
Numerical Analysis
Scientific paper
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.
Chorin Alexandre J.
Tu Xuemin
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