Adaptive sparse-grid Gauss–Hermite filter

作者：

Highlights：

•

• A novel nonlinear filter based on sparse-grid quadrature is proposed.

• Accuracy of the GHF and SGHF is retained.

• Considerable reduction in computational burden of GHF and SGHF.

• A better trade-off between the accuracy and computational burden is achieved.

摘要

•A novel nonlinear filter based on sparse-grid quadrature is proposed.•Accuracy of the GHF and SGHF is retained.•Considerable reduction in computational burden of GHF and SGHF.•A better trade-off between the accuracy and computational burden is achieved.

论文关键词：Nonlinear filtering,Gauss–Hermite quadrature rule,Product rule,Smolyak rule,Complexity reduction,Adaptive sparse-grid

论文评审过程：Received 13 November 2016, Revised 1 September 2017, Available online 26 April 2018, Version of Record 7 May 2018.

论文官网地址：https://doi.org/10.1016/j.cam.2018.04.006