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Error Estimates of the Gain Approximation by Hermite-Galerkin Method in Feedback Particle Filter
The feedback particle filter (FPF) is a promising nonlinear filtering (NLF) method, but its practical implementation is hindered by the intractability of the gain function, which satisfies a boundary value problem (BVP). This paper proposes a novel two-step Hermite-Galerkin spectral method to addres
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