activity
20162024
most citedLong-time stability and accuracy of the ensemble Kalman-Bucy filter for fully observed processes and small measurement noise

49 citations · 89 across the 6 of their papers we have counts for

collaborators
Showing 2017Show all

2 papers · 1 filter

math.NA2017★ 3 cited

Interacting particle filters for simultaneous state and parameter estimation

Angwenyi David, Jana de Wiljes, Sebastian Reich

Simultaneous state and parameter estimation arises from various applicational areas but presents a major computational challenge. Most available Markov chain or sequential Monte Ca…

math.OC2017

Kalman Filter and its Modern Extensions for the Continuous-time Nonlinear Filtering Problem

Amirhossein Taghvaei, Jana de Wiljes, Prashant G. Mehta +1

This paper is concerned with the filtering problem in continuous-time. Three algorithmic solution approaches for this problem are reviewed: (i) the classical Kalman-Bucy filter whi…