17 Modified Continuous-Time Particle Filter Algorithm …
257
23. Doucet, A., de Freitas, N., Gordon, N. (eds.): Sequential Monte Carlo Methods in Practice.
Springer, New York (2001)
24. Cappé, O., Godsill, S.J., Moulines, E.: An overview of existing methods and recent advances
in sequential Monte Carlo. Proc. IEEE 95(5), 899–924 (2007)
25. Kloeden, P.E., Platen, E.: Numerical Solution of Stochastic Differential Equations. SpringerVerlag, Berlin (1995)
26. Artemiev, S.S., Averina, T.A.: Numerical Analysis of Systems of Ordinary and Stochastic
Differential Equations. VSP, Utrecht (1997)
27. Kuznetsov, D.F.: Expansion of iterated Stratonovich stochastic integrals based on generalized
multiple Fourier series. Ufa Math. J. 11(4), 49–77 (2019)
28. Koval, M.C., Klingensmith, M., Srinivasa, S.S., Pollard, N.S., Kaess, M.: The manifold particle
filter for state estimation on high-dimensional implicit manifolds. In: Proceedings of IEEE
International Conference on Robotics and Automation (ICRA), pp. 4673–4680 (2017)
29. Marjanovic, G., Solo, V.: An engineer’s guide to particle filtering on the Stiefel manifold. In:
Proceedings of IEEE International Conference on Acoustics, Speech and Signal Processing
(ICASSP) (2017)
30. Rybakov, K.A.: On a class of filtering problems on manifolds. Informatika i ee Primeneniya
13(1), 16–24 (in Russian) (2019)
31. Averina, T.A., Karachanskaya, E.V., Rybakov, K.A.: Statistical modeling of random processes
with invariants. In: Proceedings of IEEE International Multi-Conference on Engineering,
Computer and Information Sciences (SIBIRCON), pp. 34–37 (2017)
32. Averina, T.A., Rybakov, K.A.: A modification of numerical methods for stochastic differential
equations with first integrals. Numer. Anal. Appl. 12(3), 203–218 (2019)
33. Kloeden, P.E., Pearson, R.A.: The numerical solution of stochastic differential equations. J.
Aust. Math. Soc. B 20, 8–12 (1977)
34. Chugai, K., Kosachev, I., Rybakov, K.: Approximate MMSE and MAP estimation using
continuous-time particle filter. AIP Conf. Proc. 2181, 020001 (2019)
257
23. Doucet, A., de Freitas, N., Gordon, N. (eds.): Sequential Monte Carlo Methods in Practice.
Springer, New York (2001)
24. Cappé, O., Godsill, S.J., Moulines, E.: An overview of existing methods and recent advances
in sequential Monte Carlo. Proc. IEEE 95(5), 899–924 (2007)
25. Kloeden, P.E., Platen, E.: Numerical Solution of Stochastic Differential Equations. SpringerVerlag, Berlin (1995)
26. Artemiev, S.S., Averina, T.A.: Numerical Analysis of Systems of Ordinary and Stochastic
Differential Equations. VSP, Utrecht (1997)
27. Kuznetsov, D.F.: Expansion of iterated Stratonovich stochastic integrals based on generalized
multiple Fourier series. Ufa Math. J. 11(4), 49–77 (2019)
28. Koval, M.C., Klingensmith, M., Srinivasa, S.S., Pollard, N.S., Kaess, M.: The manifold particle
filter for state estimation on high-dimensional implicit manifolds. In: Proceedings of IEEE
International Conference on Robotics and Automation (ICRA), pp. 4673–4680 (2017)
29. Marjanovic, G., Solo, V.: An engineer’s guide to particle filtering on the Stiefel manifold. In:
Proceedings of IEEE International Conference on Acoustics, Speech and Signal Processing
(ICASSP) (2017)
30. Rybakov, K.A.: On a class of filtering problems on manifolds. Informatika i ee Primeneniya
13(1), 16–24 (in Russian) (2019)
31. Averina, T.A., Karachanskaya, E.V., Rybakov, K.A.: Statistical modeling of random processes
with invariants. In: Proceedings of IEEE International Multi-Conference on Engineering,
Computer and Information Sciences (SIBIRCON), pp. 34–37 (2017)
32. Averina, T.A., Rybakov, K.A.: A modification of numerical methods for stochastic differential
equations with first integrals. Numer. Anal. Appl. 12(3), 203–218 (2019)
33. Kloeden, P.E., Pearson, R.A.: The numerical solution of stochastic differential equations. J.
Aust. Math. Soc. B 20, 8–12 (1977)
34. Chugai, K., Kosachev, I., Rybakov, K.: Approximate MMSE and MAP estimation using
continuous-time particle filter. AIP Conf. Proc. 2181, 020001 (2019)