Implicit sampling for nonlinear filters

Event Sponsor: 
LANS Informal Seminar
Start Date: 
Nov 5 2009 - 10:30am to 11:30am
1406&1407, Conference Center, Bldg 240
Argonne National Laboratory
Xuemin Tu
Speaker(s) Title: 
Department of Mathematics, University of California, Berkeley

A particle-based nonlinear filtering scheme will be presented. This algorithm is based on implicit sampling, a new sampling technique related to chainless Monte Carlo method. Posterior densities are represented by pseudo-Gaussians and the filter is designed to focus particle paths sharply so as to reduce the number of particles needed in the nonlinear data assimilation. Examples will be given.

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