Stable and Efficient Cubature-based Filtering in Dynamical Systems

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.

List of contents

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

About the author

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.

Summary

Develops new methods of deterministic numerical integration
Derives and describes state of the art filter algorithms

Presents methods of deterministic numerical integration

Product details

• Authors: Dominik Ballreich
• Publisher: Springer, Berlin
• Languages: English
• Product format: Paperback / Softback
• Released: 01.01.2018
• EAN: 9783319872391
• ISBN: 978-3-31-987239-1
• No. of pages: 160
• Dimensions: 163 mm x 234 mm x 12 mm
• Weight: 294 g
• Illustrations: XVII, 160 p. 19 illus., 14 illus. in color.
• Subjects: Natural sciences, medicine, IT, technology > Mathematics > Probability theory, stochastic theory, mathematical statistics; Social sciences, law, business > Business > General, dictionaries; B, Economics, finance, business & management, Statistics, Mathematische Physik, Vibration, Maschinenbau: Festkörpermechanik, Numerische Mathematik, Civil Engineering, Dynamics, Mathematics and Statistics, Theoretical, Mathematical and Computational Physics, Computational Mathematics and Numerical Analysis, Mechanics of solids, Computer mathematics, Numerical analysis, Dynamical systems, Quantitative Economics, Econometrics & economic statistics, Econometrics, Statistical physics, Vibration, Dynamical Systems, Control, Statistical Physics and Dynamical Systems