| EPSRC Reference: |
GR/S34137/01 |
| Title: |
Novel Sequential Monte Carlo Methods for Optimal Estimation in Dynamic Stochastic Models |
| Principal Investigator: |
Young, Professor SJ |
| Other Investigators: |
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| Project Partners: |
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| Department: |
Engineering |
| Organisation: |
University of Cambridge |
| Scheme: |
First Grant Scheme Pre-FEC |
| Starts: |
02 March 2004 |
Ends: |
01 March 2007 |
Value (£): |
125,203
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| EPSRC Research Topic Classifications: |
| Control Engineering |
Digital Signal Processing |
| Modelling & simul. of IT sys. |
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Summary on Grant Application Form |
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Stochastic models are routinely used in many fields of engineering, finance, operation research and science. Except for several special cases such as the linear Gaussian model, optimal estimation problems do not admit any closed-form solution. Realistic dynamic models Involve complex, time-varying parameter stochastic structures, often with non-linear and non-Gaussian components, and are typically not amenable to analysis without resort to approximations. Examples include tracking an aircraft using radar measurements or estimating the volatility of financial instruments using stock market data. For this class of problems, the Sequential Monte Carlo (SMC) approach, aka particle filtering, shows great promise. The potential of the SMC methods has been recently demonstrated by researchers in many different application areas. In the mean time, however, many fundamental problems remain open regarding their design, Implementation and performance analysis. Moreover, new challenges arise from applications, where novel SMC methods must be developed to cope with the structures and the complexities of specific problems, In this project, we will focus on a number of important Issues which are vital for the SMC methodology to prevail.
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Key Findings |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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Potential use in non-academic contexts |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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Impacts |
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| Description |
This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk |
| Summary |
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| Date Materialised |
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Sectors submitted by the Researcher |
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This information can now be found on Gateway to Research (GtR) http://gtr.rcuk.ac.uk
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| Project URL: |
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| Further Information: |
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| Organisation Website: |
http://www.cam.ac.uk |