Corpus ID: 51942679

FLUX: Progressive State Estimation Based on Zakai-type Distributed Ordinary Differential Equations

@article{Hanebeck2018FLUXPS,
  title={FLUX: Progressive State Estimation Based on Zakai-type Distributed Ordinary Differential Equations},
  author={Uwe D. Hanebeck},
  journal={ArXiv},
  year={2018},
  volume={abs/1808.02825}
}
  • Uwe D. Hanebeck
  • Published 2018
  • Computer Science, Mathematics
  • ArXiv
  • We propose a homotopy continuation method called FLUX for approximating complicated probability density functions. It is based on progressive processing for smoothly morphing a given density into the desired one. Distributed ordinary differential equations (DODEs) with an artificial time $\gamma \in [0,1]$ are derived for describing the evolution from the initial density to the desired final density. For a finite-dimensional parametrization, the DODEs are converted to a system of ordinary… CONTINUE READING

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