Calculating moments of exponential densities using differential algebraic equations

IEEE Signal Processing Letters

Volumn 10, Issue 5, 2003, Pages 144-147

  Rauh, Andreas ^a   Hanebeck, Uwe D ^b  

^a UNIVERSITY OF ULM   (Germany)

^b UNIVERSITY OF KARLSRUHE   (Germany)

Author keywords

Differential algebraic equations (DAEs); Exponential densities; Moment calculation; Runge Kutta

Indexed keywords

COMPUTATIONAL COMPLEXITY; GAUSSIAN NOISE (ELECTRONIC); INTEGRATION; ORDINARY DIFFERENTIAL EQUATIONS; POLYNOMIALS; RUNGE KUTTA METHODS; STATE ESTIMATION;

EXPONENTIAL DENSITIES; GAUSSIAN DENSITIES;

NONLINEAR FILTERING;

EID: 0038681942     PISSN: 10709908     EISSN: None     Source Type: Journal    
DOI: 10.1109/LSP.2003.810022     Document Type: Article

References (7)

1. A. Budhiraja and H. Kushner, "A nonlinear filtering algorithm based on an approximation of the conditional distribution," IEEE Trans. Automat. Contr., vol. 45, pp. 580-585, Mar. 2000.
2. D. Brigo, B. Hanzon, and F. L. Gland, "A differential geometric approach to nonlinear filtering: The projection filter," IEEE Trans. Automat. Contr., vol. 43, pp. 247-252, Feb. 1998.
3. D. Brigo, B. Hanzon, and F. L. Gland, "Approximate nonlinear filtering by projection on exponential manifolds of densities," Bernoulli, vol. 5, no. 3, pp. 495-534, 1999.
4. A. Doucet, S. Godsill, and C. Andrieu, "On sequential Monte Carlo sampling methods for Bayesian filtering," Stat. Comput., vol. 10, pp. 197-208, 2000.
5. H. Tanizaki, "Nonlinear and non-Gaussian state space modeling using sampling techniques," Ann. Inst. Stat. Math., vol. 53, no. 1, pp. 63-81, 2001.
6. P. J. Davis and P. Rabinowitz, Methods of Numerical Integration. London, U.K.: Academic, 1984.
7. W. H. Press, A. Teukolsky, W. T. Vetterling, and B. P. Flannery, Numerical Recipes in C, The Art of Scientific Computing, 2nd ed. Cambridge, U.K.: Cambridge Univ. Press, 1992, ch. 16.