Interpolation and Iteration for Nonlinear Filters
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Interpolation and Iteration for Nonlinear Filters

  • Author(s): Chorin, AJ
  • Tu, X
  • et al.
Abstract

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.

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