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math.OC2025
Conjugate continuous-discrete projection filter via sparse-Grid quadrature
Muhammad F. Emzir, Zaid A. Sawlan, Sami El Ferik
In this article, we study the continuous-discrete projection filter for exponential-family manifolds with conjugate likelihoods. We first derive the local projection error of the p…
math.OC2025
A Bayesian Update Method for Exponential Family Projection Filters with Non-Conjugate Likelihoods
Muhammad Fuady Emzir
The projection filter is one of the approximations to the solution of the optimal filtering problem. It approximates the filtering density by projecting the dynamics of the square-…