A Hybrid Sparse-Grid Approach for Nonlinear Filtering Problems Based on Adaptive-Domain of the Zakai Equation Approximations

Abstract

A hybrid finite difference algorithm for the Zakai equation is constructed to solve nonlinear filtering problems. The algorithm combines the splitting-up finite difference scheme and hierarchical sparse grid method to solve moderately high-dimensional nonlinear filtering problems. When applying hierarchical sparse-grid methods to approximate bell-shaped solutions in most applications of nonlinear filtering problems, we introduce a logarithmic approximation to reduce the approximation errors. Some space adaptive methods are also introduced to make the algorithm more efficient. Numerical experiments are carried out to demonstrate the performance and efficiency of our algorithm.