Article ID Journal Published Year Pages File Type
1155425 Stochastic Processes and their Applications 2015 31 Pages PDF
Abstract

Stochastic filtering is defined as the estimation of a partially observed dynamical system. Approximating the solution of the filtering problem with Gaussian mixtures has been a very popular method since the 1970s. Despite nearly fifty years of development, the existing work is based on the success of the numerical implementation and is not theoretically justified. This paper fills this gap and contains a rigorous analysis of a new Gaussian mixture approximation to the solution of the filtering problem. We deduce the L2L2-convergence rate for the approximating system and show some numerical examples to test the new algorithm.

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
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