Non-linear and non-normal filter based on Monte-Carlo technique

✍ Scribed by Hisashi Tanizaki

Year: 1997
Tongue: English
Leaves: 17
Category: Library

No coin nor oath required. For personal study only.

✦ Synopsis

A non-linear and/or non-normal filter is proposed in this paper. Generating random draws of the state vector directly from the filtering density, the filtering estimate is obtained, which gives us a recursive algorithm. There, we do not evaluate any integration included in the density-based filtering algorithm such as the numerical integration procedure and the Monte-Carlo integration approach. The Monte-Carlo experiments indicate that the proposed non-linear and non-normal filter shows a good performance.

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