LANS Informal Seminar
"Implicit sampling for nonlinear filters"
DATE: November 5, 2009
TIME: 10:30 AM - 11:30 AM
SPEAKER: Xuemin Tu, Department of Mathematics, University of California, Berkeley
LOCATION: 1406&1407, Conference Center, Bldg 240, Argonne National Laboratory
Description:
A particle-based nonlinear filtering scheme will be presented. This algorithm is based on implicit sampling, a new sampling technique related to chainless Monte Carlo method. Posterior densities are represented by pseudo-Gaussians and the filter is designed to focus particle paths sharply so as to reduce the number of particles needed in the nonlinear data assimilation. Examples will be given.
