 Simulation StudiesDominik Ballreich
Chapter Chapter 5 in Stable and Efficient Cubature-based Filtering in Dynamical Systems, 2017, pp 109-134 from Springer Abstract: Abstract The efficiency and stability of the AE and Smolyak-AE cubature rules in comparison to the GK and DGKP rules will be investigated by conducting four simulation studies. In the first two studies, five- and seven-dimensional state-space models will be filtered by the nonlinear Kalman filter, which operates analogously to the unscented Kalman filter (Algorithm 3). In the third study, the conditional Kalman filter (Algorithm 5) will be applied. The algorithms of the unscented Kalman filter and the conditional unscented Kalman filter can be easily equipped with arbitrary cubature rules which are suitable for Gaussian integrals. In order to achieve this, only the sections “Definitions” and “Initialization” have to be changed using the change of variables approach for Gaussian integrals described in Sect. 3.2s.8. The modifications are here presented by the example of the unscented Kalman filter algorithm. To make clear that the algorithm is used in connection with different types of cubature rules, its name is changed to “cubature-based Kalman filter algorithm” in the following example. Date: 2017 There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-62130-2_5 Ordering information: This item can be ordered from DOI: 10.1007/978-3-319-62130-2_5 Access Statistics for this chapter More chapters in Springer Books from Springer |
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