Kalman Filter and its Modern Extensions for the Continuous-time Nonlinear Filtering Problem
Taghvaei, Amirhossein; de Wiljes, Jana; Mehta, Prashant G.; Reich, Sebastian;
Subject: Mathematics - Optimization and Control | Computer Science - Systems and Control
This paper is concerned with the filtering problem in continuous-time. Three algorithmic solution approaches for this problem are reviewed: (i) the classical Kalman-Bucy filter which provides an exact solution for the linear Gaussian problem, (ii) the ensemble Kalman-Bu... View more
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