Computational issues in linear multistep method particle filtering
Daniela Calvetti, Salvatore Cuomo, Monica Pragliola, Erkki Somersalo, Gerardo Toraldo · AIP conference proceedings · 2016
The LMM PF is a methodology for solving the state and parameter estimation problem for ODEs system, rooted into a Bayesian framework and for it we consider a test problem with known solution to investigate in depth the error sources and how they depend on the choice of LMM used for the numerical integration. We conclude by looking at the effect on the error of replacing LMM with Runge-Kutta (RK) class integration methods.