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The application of Monte Carlo methods to the nonlinear filtering problem

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2 Author(s)
Yoshimura, T. ; Tokushima University, Tokushima, Japan ; Soeda, T.

The minimum variance estimates of state variables in a noisy, nonlinear discrete-time system are evaluated by a Monte Carlo method. The a posteriori probability density function for state variables conditioned upon measurement data sequence is expanded into a series of orthonormal Hermite functions and numerically determined in a recursive form. The numerical results indicate that the proposed method can markedly improve the accuracy by using the quasi-random numbers.

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Automatic Control, IEEE Transactions on  (Volume:17 ,  Issue: 5 )