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Stable and Efficient Cubature-based Filtering in Dynamical Systems
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Gewicht:
442 g
Format:
241x160x16 mm
Beschreibung:
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.
Develops new methods of deterministic numerical integration
Introduction.- Filtering in Dynamical Systems.- Deterministic Numerical Integration.- Optimization and Stabilization of Cubature Rules.- Simulation Studies.- Results.- Appendices.- Index.- Bibliography.
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.