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ref: bookmark-0 tags: particle_filter unscented monte_carlo MCMC date: 12-11-2007 16:46 gmt revision:2 [1] [0] [head]


  • covers both the particle filter and the unscented kalman filter ... the unscented kalman filter is used as the proposal distribution.

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ref: bookmark-0 tags: monte_carlo MCMC particle_filter probability bayes filtering biblography date: 0-0-2007 0:0 revision:0 [head]

http://www-sigproc.eng.cam.ac.uk/smc/papers.html -- sequential monte carlo methods. (bibliography)

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ref: notes-0 tags: MCMC Monte carlo markov chain date: 0-0-2006 0:0 revision:0 [head]

In a MCMC, the invariant distribution is a eigenvector of the state transition matrix whose eigenvalue is 1!

page 372 of http://www.inference.phy.cam.ac.uk/itprnn/book.pdf