Numerical Methods for Solving the Filtering Problem
This chapter contains an overview of six classes of numerical methods for solving the filtering problem. For each of the six classes, we give a brief description of the ideas behind the methods and state some related results. The last class of methods presented here, particle methods, is developed and studied in depth in Chapter 9 for the continuous time framework and in Chapter 10 for the discrete one.
KeywordsParticle Method Spectral Approach Molten Carbonate Fuel Cell Filter Problem Sequential Monte Carlo Method
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