Interpolation and Iteration for Nonlinear Filters. (arXiv:0910.3241v1 [math.NA])

We present a general form of the iteration and interpolation process used in
implicit particle filters. Implicit filters are based on a pseudo-Gaussian
representation of posterior densities, and are designed to focus the particle
paths so as to reduce the number of particles needed in nonlinear data
assimilation. Examples are given.

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Original source : http://arxiv.org/abs/0910.3241...