On Recent Advance of Nonlinear Filtering Theory: Emphases on Global Approaches

Xue Luo Beihang University

Optimization and Control mathscidoc:1701.27013

Distinguished Paper Award in 2017

PureAppl. Math. Q., 10, (4), 685-721, 2014
The surveys in the field of nonlinear filtering (NLF) are enumerous. Most of them are application-oriented and served as the tutorials for the practioners. The local approaches, including Kalman filter and its invariants, have already been studied from various point of views, due to its off-the-shelf implementation and wide applications. However, it cannot give good estimation of the states in highly nonlinear system or with non-Gaussian initial conditional density functions. Moreover, while the local methods only approximate the mean and variance, the global ones seek the way to directly obtain the conditional density function of the states. Consequently, all the statistical information is acquired. In this survey, we shall briefly go through the local approaches and put emphases on the existing three major global approaches: finite-dimensional NLF, sequential Monte Carlo methods (particle filter) and the {Yau-Yau's} on- and off-line solver of Duncan-Mortensen-Zakai's equation {\cite{YY_08}}. The discussions are mainly from the mathematical point of view.
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  title={On Recent Advance of Nonlinear Filtering Theory: Emphases on Global Approaches},
  author={Xue Luo},
  booktitle={PureAppl. Math. Q.},
Xue Luo. On Recent Advance of Nonlinear Filtering Theory: Emphases on Global Approaches. 2014. Vol. 10. In PureAppl. Math. Q.. pp.685-721. http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20170129105909652171131.
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