13 June 2014 Seven dubious methods to mitigate stiffness in particle flow with non-zero diffusion for nonlinear filters, Bayesian decisions, and transport
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Abstract
We explain why one of our favorite particle flows (method #18) requires special care for numerical integration. The root cause is stiffness of the flow. This can be mitigated with a small increase in computational complexity (a factor of three). There are many ways to do this, but some are much better than others. In particular, one can use a smaller step size for numerical integration, or use principal coordinates, or use a stiff ODE solver or an adaptive ODE solver or other methods. We show that the best methods are contrary to the standard advice given in textbooks.
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Fred Daum, Jim Huang, "Seven dubious methods to mitigate stiffness in particle flow with non-zero diffusion for nonlinear filters, Bayesian decisions, and transport", Proc. SPIE 9092, Signal and Data Processing of Small Targets 2014, 90920C (13 June 2014); doi: 10.1117/12.2046814; https://doi.org/10.1117/12.2046814
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