Related papers: Implicit particle filtering for models with partia…
We introduce a data assimilation strategy aimed at accurately capturing key non-Gaussian structures in probability distributions using a small ensemble size. A major challenge in statistical forecasting of nonlinearly coupled multiscale…
We investigate solution methods for large-scale inverse problems governed by partial differential equations (PDEs) via Bayesian inference. The Bayesian framework provides a statistical setting to infer uncertain parameters from noisy…
Calibrating for direction-dependent ionospheric distortions in visibility data is one of the main technical challenges that must be overcome to advance low-frequency radio astronomy. In this paper, we propose a novel probabilistic,…
The particle filter (PF) is a powerful inference tool widely used to estimate the filtering distribution in non-linear and/or non-Gaussian problems. To overcome the curse of dimensionality of PF, the block PF (BPF) inserts a blocking step…
We introduce a framework for Data Assimilation (DA) in which the data is split into multiple sets corresponding to low-rank projections of the state space. Algorithms are developed that assimilate some or all of the projected data,…
Complex dynamic systems can be investigated by fitting mechanistic stochastic dynamic models to time series data. In this context, commonly used Monte Carlo inference procedures for model selection and parameter estimation quickly become…
An electrostatic, implicit particle-in-cell (PIC) model for collisionless, fully magnetized, paraxial plasma expansions in a magnetic nozzle is introduced with exact charge, energy, and magnetic moment conservation properties. The approach…
Conventional recursive filtering approaches, designed for quantifying the state of an evolving uncertain dynamical system with intermittent observations, use a sequence of (i) an uncertainty propagation step followed by (ii) a step where…
In this paper, the problem of state estimation, in the context of both filtering and smoothing, for nonlinear state-space models is considered. Due to the nonlinear nature of the models, the state estimation problem is generally intractable…
We provide a framework which admits a number of ``marginal'' sequential Monte Carlo (SMC) algorithms as particular cases -- including the marginal particle filter [Klaas et al., 2005, in: Proceedings of Uncertainty in Artificial…
Model-independent searches in particle physics aim at completing our knowledge of the universe by looking for new possible particles not predicted by the current theories. Such particles, referred to as signal, are expected to behave as a…
Size, weight, and power constrained platforms impose constraints on computational resources that introduce unique challenges in implementing localization algorithms. We present a framework to perform fast localization on such platforms…
Sequential Monte Carlo algorithms, or Particle Filters, are Bayesian filtering algorithms which propagate in time a discrete and random approximation of the a posteriori distribution of interest. Such algorithms are based on Importance…
This paper proposes a novel global optimization algorithm, Particle Filter-Based Optimization (PFO), designed for a class of stochastic optimization problems in which the objective function lacks an analytical form and is subject to noisy…
Most Kalman filter extensions assume Gaussian noise and when the noise is non-Gaussian, usually other types of filters are used. These filters, such as particle filter variants, are computationally more demanding than Kalman type filters.…
Implicit samplers are algorithms for producing independent, weighted samples from multi-variate probability distributions. These are often applied in Bayesian data assimilation algorithms. We use Laplace asymptotic expansions to analyze two…
When calculating satellite trajectories in low-earth orbit, engineers need to adequately estimate aerodynamic forces. But to this day, obtaining the drag acting on the complicated shapes of modern spacecraft suffers from many sources of…
The robust estimation of dynamically changing features, such as the position of prey, is one of the hallmarks of perception. On an abstract, algorithmic level, nonlinear Bayesian filtering, i.e. the estimation of temporally changing signals…
In this paper, we consider the filtering problem for partially observed diffusions, which are regularly observed at discrete times. We are concerned with the case when one must resort to time-discretization of the diffusion process if the…
Auxiliary particle filters (APFs) are a class of sequential Monte Carlo (SMC) methods for Bayesian inference in state-space models. In their original derivation, APFs operate in an extended state space using an auxiliary variable to improve…