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Computational aspects of the nonlinear filtration problem

机译:非线性过滤问题的计算方面

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摘要

The present article considers the phenomenon of stiffness, a phenomenon that is well known for dynamical systems. It often arises in the nonlinear filtration problem and is responsible for the failure in the stability of numerical methods applied in the integration of equations of quasi-optimal estimation. A method is developed by means of which this phenomenon may be eliminated. The method also guarantees a required degree of stability of the numerical methods employed here and greatly increases the length of the integration step.
机译:本文考虑了刚体现象,这种现象在动力系统中是众所周知的。它经常出现在非线性滤波问题中,并导致在准最优估计方程的积分中应用的数值方法的稳定性失败。开发了一种可以消除这种现象的方法。该方法还保证了此处采用的数值方法所需的稳定性,并大大增加了积分步骤的时间。

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