Gromov's method for Bayesian stochastic particle flow: A simple exact formula for Q
Fred E. Daum, Jim Huang, Arjang Noushin · 2016
We describe several new algorithms for stochastic particle flow using Gromov's method. We derive a simple exact formula for Q in certain special cases. The purpose of using stochastic particle flow is two fold: improve estimation accuracy of the state vector and improve the accuracy of uncertainty quantification. Q is the covariance matrix of the diffusion for particle flow corresponding to Bayes' rule.