Abstract
In the paper, we give the numerical simulation of nonlinear filtering problem. We introduce the basic filtering problem and review the reduction from robust Duncan-Mortensen-Zakai equation to Kolmogorov equation firstly. Then the difference scheme of the Kolmogorov equation is given to calculate the nonlinear filtering equation. We derive the result that the solution of the difference scheme convergences pointwise to the solution of the initial-value problem of the Kolmogorov equation. Numerical experiments show that the numerical method can give the exact result.
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Liu, Z., Dong, F., Ding, L. (2011). Numerical Simulation of Nonlinear Filtering Problem. In: Lin, S., Huang, X. (eds) Advanced Research on Computer Education, Simulation and Modeling. CESM 2011. Communications in Computer and Information Science, vol 176. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-21802-6_3
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DOI: https://doi.org/10.1007/978-3-642-21802-6_3
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-21801-9
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