Accurate Density-Weighted Convolution for Point-Mass Filter and Predictor

This article deals with the Bayesian state estimation of the nonlinear stochastic dynamic systems. The stress is laid on the numerical solution to the Chapman–Kolmogorov equation, which governs the prediction step of the point-mass filter and predictor, using the convolution. A novel density-weighted convolution is proposed, which provides an accurate predictive probability density function even f...