Numerical Methods for Solving the Filtering Problem
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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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