Stable and Efficient Cubature-based Filtering in Dynamical Systems

1. Auflage 2017
ISBN: 978-3-319-62129-6
Verlag: Springer International Publishing

Buch, Englisch, 160 Seiten, Format (B × H): 160 mm x 241 mm, Gewicht: 3967 g

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.

Zielgruppe

Research

Autoren/Hrsg.

Ballreich, Dominik

Fachgebiete

• Technische Wissenschaften Maschinenbau | Werkstoffkunde Technische Mechanik | Werkstoffkunde Statik, Dynamik, Kinetik, Kinematik
• Naturwissenschaften Physik Angewandte Physik Statistische Physik, Dynamische Systeme
• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie

Inhaltsverzeichnis

Introduction.- Filtering in Dynamical Systems.- Deterministic Numerical Integration.- Optimization and Stabilization of Cubature Rules.- Simulation Studies.- Results.- Appendices.- Index.- Bibliography.

Über Autor(innen)

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.