Tensor Train Discrete Grid-Based Filters: Breaking the Curse of Dimensionality
This paper deals with the state estimation of stochastic systems and examines the possible employment of tensor decompositions in grid-based filtering routines, in particular, the tensor-train decomposition. The aim is to show that these techniques can lead to a massive reduction in both the computational and storage complexity of grid-based filtering algorithms without considerable tradeoffs in accuracy. This claim is supported by an algorithm descriptions and numerical illustrations.
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