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The Generalized Fibonacci Grid as Low-Discrepancy Point Set for Optimal Deterministic Gaussian Sampling

Frisch, Daniel 1; Hanebeck, Uwe D.
1 Institut für Anthropomatik und Robotik (IAR), Karlsruher Institut für Technologie (KIT)

Abstract:

We propose a multivariate Gaussian sampling scheme. The samples exhibit an “optimal deterministic” configuration. This entails better quadrature or cubature results than with random or quasi-random samples. Our sampling is based on the generalized Fibonacci grid that makes the remarkable properties of the well-known two-dimensional Fibonacci grid applicable in higher dimensions. Two options for generating the multivariate generalized Fibonacci grid are presented, based on a rotated grid and a linear programming counter, respectively. Various options for covariance matching are explored to obtain an unscented transform.


Postprint §
DOI: 10.5445/IR/1000167375
Veröffentlicht am 01.07.2024
Cover der Publikation
Zugehörige Institution(en) am KIT Institut für Anthropomatik und Robotik (IAR)
Publikationstyp Zeitschriftenaufsatz
Publikationsmonat/-jahr 06.2023
Sprache Englisch
Identifikator ISSN: 1557-6418
KITopen-ID: 1000167375
Erschienen in Journal of Advances in Information Fusion
Band 18
Heft 1
Seiten 16–34
Externe Relationen Abstract/Volltext
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