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math.OC2023
Gaussian-Based Parametric Bijections For Automatic Projection Filters
Muhammad F. Emzir, Zheng Zhao, Lahouari Cheded +1
The automatic projection filter is a recently developed numerical method for projection filtering that leverages sparse-grid integration and automatic differentiation. However, its…
math.OC2021
Multidimensional Projection Filters via Automatic Differentiation and Sparse-Grid Integration
Muhammad Fuady Emzir, Zheng Zhao, Simo Särkkä
The projection filter is a technique for approximating the solutions of optimal filtering problems. In projection filters, the Kushner--Stratonovich stochastic partial differential…