Stable and Efficient Cubature-based Filtering in Dynamical Systems

Dominik Ballreich (Autor)

Buch | Softcover

XVII, 160 Seiten

2018 | Softcover reprint of the original 1st ed. 2017
Springer International Publishing (Verlag)
9783319872391 (ISBN)

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The book addresses the problem of calculation of d-dimensional integrals (conditional expectations) in filter problems. It develops new methods of deterministic numerical integration, which can be used to speed up and stabilize filter algorithms. With the help of these methods, better estimates and predictions of latent variables are made possible in the fields of economics, engineering and physics. The resulting procedures are tested within four detailed simulation studies.

Dominik Ballreich is a research assistant at the Chair for Applied Statistics and Methods of Empirical Social Research at the University of Hagen. His research interests lie in the fields of recursive Bayesian estimation, numerical integration and heuristic optimization.

Introduction.- Filtering in Dynamical Systems.- Deterministic Numerical Integration.- Optimization and Stabilization of Cubature Rules.- Simulation Studies.- Results.- Appendices.- Index.- Bibliography.

Erscheinungsdatum	10.12.2018
Zusatzinfo	XVII, 160 p. 19 illus., 14 illus. in color.
Verlagsort	Cham
Sprache	englisch
Maße	155 x 235 mm
Gewicht	2818 g
Themenwelt	Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
Themenwelt	Wirtschaft ► Allgemeines / Lexika
Schlagworte	Cubature Kalman filter • Deterministic numerical integration • Filtering in dynamical systems • Ginzburg-Landau model • Kalman Filter • Lorenz model • maximum likelihood estimation • Numerical Integration • Optimization and stabilization of cubature rules • Recursive Bayesian estimation • Six-dimentional coordinated turn model • Smolyak cubature • Smolyak cubature rules with an approximate degree • Smolyak cubature rules with an approximate degree of exactness • State-space Models • Univariate non-stationary growth model
ISBN-13	9783319872391 / 9783319872391
Zustand	Neuware