Convergence rates of Gaussian ODE filters

Hans Kersting
Hans Kersting
T J Sullivan
T J Sullivan

STATISTICS AND COMPUTING, pp. 1791-1816, 2020.

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Abstract:

A recently introduced class of probabilistic (uncertainty-aware) solvers for ordinary differential equations (ODEs) applies Gaussian (Kalman) filtering to initial value problems. These methods model the true solution x and its first q derivatives a priori as a Gauss-Markov process X, which is then iteratively conditioned on information ab...More

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