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dc.date.accessioned2015-01-19T14:50:59Z
dc.date.available2015-01-19T14:50:59Z
dc.date.created2013-08-20T10:38:39Z
dc.date.issued2013
dc.identifier.citationCrisan, Dan Ortiz-Latorre, Salvador . A Kusuoka-Lyons-Victoir particle filter. Proceedings of the Royal Society. Mathematical, Physical and Engineering Sciences. 2013, 469(2156)
dc.identifier.urihttp://hdl.handle.net/10852/41892
dc.description.abstractThe aim of this paper is to introduce a new numerical algorithm for solving the continuous time nonlinear filtering problem. In particular, we present a particle filter that combines the Kusuoka–Lyons–Victoir (KLV) cubature method on Wiener space to approximate the law of the signal with a minimal variance ‘thinning’ method, called the tree-based branching algorithm (TBBA) to keep the size of the cubature tree constant in time. The novelty of our approach resides in the adaptation of the TBBA algorithm to simultaneously control the computational effort and incorporate the observation data into the system. We provide the rate of convergence of the approximating particle filter in terms of the computational effort (number of particles) and the discretization grid mesh. Finally, we test the performance of the new algorithm on a benchmark problem (the Beneš filter).
dc.languageEN
dc.titleA Kusuoka-Lyons-Victoir particle filter
dc.typeJournal article
dc.creator.authorCrisan, Dan
dc.creator.authorOrtiz-Latorre, Salvador
cristin.unitcode185,15,26,0
cristin.unitnameSenter for matematikk for anvendelser
cristin.ispublishedtrue
cristin.fulltextpreprint
cristin.qualitycode1
dc.identifier.cristin1044102
dc.identifier.bibliographiccitationinfo:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Proceedings of the Royal Society. Mathematical, Physical and Engineering Sciences&rft.volume=469&rft.spage=&rft.date=2013
dc.identifier.jtitleProceedings of the Royal Society. Mathematical, Physical and Engineering Sciences
dc.identifier.volume469
dc.identifier.issue2156
dc.identifier.pagecount19
dc.identifier.doihttp://dx.doi.org/10.1098/rspa.2013.0076
dc.identifier.urnURN:NBN:no-46298
dc.type.documentTidsskriftartikkel
dc.source.issn1364-5021
dc.identifier.fulltextFulltext https://www.duo.uio.no/bitstream/handle/10852/41892/2/A%2BKLV%2Bparticle%2Bfilter%2B%2528Extended%2529_Crisan_Ortiz-Latorre.pdf
dc.type.versionSubmittedVersion


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