Mathematics - Colloquium
Tuesday, January 28, 2014
11:00 AM-12:00 PM
ABSTRACT: Stochastic filtering plays an important role in signal processing, communications, finance, etc. Commonly used methods include Kalman filter methods and particle filter methods. I will first provide the framework of stochastic filtering problems, including linear and nonlinear filtering. Then I will introduce a numerical particle filtering scheme and an implicit filtering scheme that I've done lately.
Suggested Audiences: College, Adult
Last Modified: January 6, 2014 at 3:56 PM