Method of Best Successive Approximations for Nonlinear Operators
Anatoli Torokhti, Phil George Howlett, Charles Pearce · Journal of Computational Analysis and Applications · 2003
We present a new approach to the approximation of nonlinear operators in probability spaces. The approach is based on a combination of the specific iterative procedure and the best approximation problem solution with a quadratic approximant. We show that the combination of these new techniques allow us to build a computationally efficient and flexible method. The algorithm of the method and its application to the optimal filtering of stochastic signals are given.