Quasi-Monte Carlo Methods in Moderate Dimensions: Chebyshev Lattices, Numerical Integration and Particle Filters (Quasi-Monte Carlo technieken in matige dimensies: Chebyshev roosterregels, numerieke integratie en deeltjesfilters) KU Leuven
In the first part, we detail our attempts to improve the particle filter performance by replacing pseudo-random numbers by quasi-random point sets. It is known from quasi-Monte Carlo techniques that these point sets provide a better rate of convergence in the context of numerical integration, however, our experiments did not reveal the same superiority. We extend the Kullback-Leibler divergence to the weighted particle sets that are typically ...