Related papers: A finite dimensional filter with exponential condi…
Nonlinear filtering is a pivotal problem that has attracted significant attention from mathematicians, statisticians, engineers, and various other scientific disciplines. The solution to this problem is governed by the so-called filtering…
We discuss the solvability of an infinite system of first order ordinary differential equations on the half line, subject to nonlocal initial conditions. The main result states that if the nonlinearities possess a suitable "sub-linear"…
We consider a nonlinear Klein--Gordon equation in the nonrelativistic limit regime with highly oscillatory initial data in the form of a modulated plane wave. In this regime, the solution exhibits rapid oscillations in both time and space,…
We study an approximation method for the one-dimensional nonlinear filtering problem, with discrete time and continuous time observation. We first present the method applied to the Fokker-Planck equation. The convergence of the…
We consider a robust state space filtering problem in the case that the transition probability density is unknown and possibly degenerate. The resulting robust filter has a Kalman-like structure and solves a minimax game: the nature selects…
We look at a stochastic time-varying optimization problem and we formulate online algorithms to find and track its optimizers in expectation. The algorithms are derived from the intuition that standard prediction and correction steps can be…
Many systems for which compressive sensing is used today are dynamical. The common approach is to neglect the dynamics and see the problem as a sequence of independent problems. This approach has two disadvantages. Firstly, the temporal…
Nonlinear observer design for systems whose state space evolves on Lie groups is considered. The proposed method is similar to previously developed nonlinear observers in that it involves propagating the state estimate using a process model…
In this paper we will develop linear and nonlinear filtering methods for a large class of nonlinear wave equations that arise in applications such as quantum dynamics and laser generation and propagation in a unified framework. We consider…
In this paper we consider the filtering of partially observed multi-dimensional diffusion processes that are observed regularly at discrete times. We assume that, for numerical reasons, one has to time-discretize the diffusion process which…
In this paper, we study the discrete time filtering problems for linear systems driven by fractional noises. The main difficulty comes from the non-Markovian of the noises. We construct the difference equation of the covariance process…
Despite the cheap availability of computing resources enabling faster Monte Carlo simulations, the potential benefits of particle filtering in revealing accurate statistical information on the imprecisely known model parameters or modeling…
The finite element solution of two-dimensional anisotropic diffusion problems is considered. A Delaunay-type mesh condition is developed for linear finite element approximations to satisfy a discrete maximum principle. The condition is…
Nonlinear filtering is the problem of online estimation of a dynamic hidden variable from incoming data and has vast applications in different fields, ranging from engineering, machine learning, economic science and natural sciences. We…
We propose an ensemble score filter (EnSF) for solving high-dimensional nonlinear filtering problems with superior accuracy. A major drawback of existing filtering methods, e.g., particle filters or ensemble Kalman filters, is the low…
Both in classical and quantum stochastic control theory a major role is played by the filtering equation, which recursively updates the information state of the system under observation. Unfortunately, the theory is plagued by…
A numerical scheme for approximating the nonlinear filtering density is introduced and its convergence rate is established, theoretically under a parabolic H\"{o}rmander condition, and empirically in numerical examples. In a prediction…
We investigate the robustness of nonlinear filtering for continuous time finite state Markov chains, observed in white noise, with respect to misspecification of the model parameters. It is shown that the distance between the optimal filter…
The solution of the continuous time filtering problem can be represented as a ratio of two expectations of certain functionals of the signal process that are parametrized by the observation path. We introduce a new time discretisation of…
The aim of this article is to study a nonlinear system modeling a Non-Newtonian fluid of polymer aqueous solutions. We are interested here in the existence of weak solutions for the stationary problem in a bounded plane domain or in…