Sequential Monte Carlo Methods for System Identification

pp. 775-786, 2015.

Cited by: 33|Views20

Abstract:

One of the key challenges in identifying nonlinear and possibly non-Gaussian state space models (SSMs) is the intractability of estimating the system state. Sequential Monte Carlo (SMC) methods, such as the particle filter (introduced more than two decades ago), provide numerical solutions to the nonlinear state estimation problems aris...More

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