Abstract
The formulation of the data-assimilation problem described in the previous chapter is probabilistic, and its computational resolution requires the probing of a posterior probability distribution on signal-given data.
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Notes
- 1.
Indeed, we prove such a result in Lemma 4.7 in the context of the particle filter .
- 2.
Recall that we use the ∧ operator to denote the minimum between two real numbers.
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Law, K., Stuart, A., Zygalakis, K. (2015). Discrete Time: Smoothing Algorithms. In: Data Assimilation. Texts in Applied Mathematics, vol 62. Springer, Cham. https://doi.org/10.1007/978-3-319-20325-6_3
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