An iterative implementation of the implicit nonlinear filter
ESAIM: Mathematical Modelling and Numerical Analysis , Tome 46 (2012) no. 3, pp. 535-543.

Implicit sampling is a sampling scheme for particle filters, designed to move particles one-by-one so that they remain in high-probability domains. We present a new derivation of implicit sampling, as well as a new iteration method for solving the resulting algebraic equations.

DOI : 10.1051/m2an/2011055
Classification : 60G35, 62M20, 86A05
Mots clés : implicit sampling, filter, reference density, jacobian, iteration, particles
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Chorin, Alexandre J.; Tu, Xuemin. An iterative implementation of the implicit nonlinear filter. ESAIM: Mathematical Modelling and Numerical Analysis , Tome 46 (2012) no. 3, pp. 535-543. doi : 10.1051/m2an/2011055. http://www.numdam.org/articles/10.1051/m2an/2011055/

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