Geodesic
An iterative implementation of the implicit nonlinear filter
ESAIM: Mathematical Modelling and Numerical Analysis , Special volume in honor of Professor David Gottlieb. Numéro spécial, Tome 46 (2012) no. 3, pp. 535-543

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Implicit sampling is a sampling scheme for particle filters, designed to move particles one-by-one so that they remain in high-probability domains. We present a new derivation of implicit sampling, as well as a new iteration method for solving the resulting algebraic equations.

DOI : 10.1051/m2an/2011055
Classification : 60G35, 62M20, 86A05
Keywords: implicit sampling, filter, reference density, jacobian, iteration, particles 
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     title = {An iterative implementation of the implicit nonlinear filter},
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     pages = {535--543},
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Chorin, Alexandre J.; Tu, Xuemin. An iterative implementation of the implicit nonlinear filter. ESAIM: Mathematical Modelling and Numerical Analysis , Special volume in honor of Professor David Gottlieb. Numéro spécial, Tome 46 (2012) no. 3, pp. 535-543. doi: 10.1051/m2an/2011055

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