Beruflich Dokumente
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KEY WORDS
Nonlinear filters, particle filter, adjoint method,
meshfree, Fokker-Planck equation, Kalman
filter
1.0
INTRODUCTION
T=
c(d )
d/s
in which
References
(1)
(2)
(3)
(5)
(6)
(7)
(8)
(9)
1. Prediction of
density (drift)
2. Prediction of
density
(diffusion)
3. Adaptive
method to avoid
uniform grid
4.
Representation
of density
5. Exploits
smoothness
NEW
FILTER
Exact
solution of
FokkerPlanck PDE
convolution
of two
probability
densities
Adjoint
method
Hybrid of
continuous &
discrete in
state-space
Yes
PARTICLE
FILTER
Monte Carlo
Monte Carlo
Importance
sampling
from
proposal
density
Particles
No
Optimal control
Computes optimal
control: u(x,t)
Uses feedback
Euler-Lagrange
equations
Functional to be
minimized:
J = L(x, u ,t) dt