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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…
math.OC2021
Posterior linearisation smoothing with robust iterations
Jakob Lindqvist, Simo Särkkä, Ángel F. García-Fernández +2
This paper considers the problem of iterative Bayesian smoothing in nonlinear state-space models with additive noise using Gaussian approximations. Iterative methods are known to i…