Optimization and Stabilization of Cubature Rules

Dominik Ballreich
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Dominik Ballreich: University of Hagen

Chapter Chapter 4 in Stable and Efficient Cubature-based Filtering in Dynamical Systems, 2017, pp 93-108 from Springer

Abstract: Abstract In this chapter the methods used to generate own cubature rules are developed. The algorithm presented in the first chapter is based on a least squares approach to the multidimensional moment equations and is used to generate cubature rules with approximate exactness m = 5 and m = 7 which possess optimal stability. In the second section, three new kinds of cubature rules will be presented which are based on the Smolyak algorithm. The developed procedure allows the computation of Smolyak cubature rules of high stability.

Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-62130-2_4

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DOI: 10.1007/978-3-319-62130-2_4

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