Related papers: Poisson's equation in nonlinear filtering
Control-type particle filters have been receiving increasing attention over the last decade as a means of obtaining sample based approximations to the sequential Bayesian filtering problem in the nonlinear setting. Here we analyse one such…
In this letter, a new filtering technique to solve a nonlinear state estimation problem has been developed. It is well known that for a nonlinear system, the prior and posterior probability density functions (pdf) are non-Gaussian in…
This paper presents the construction of a particle filter, which incorporates elements inspired by genetic algorithms, in order to achieve accelerated adaptation of the estimated posterior distribution to changes in model parameters.…
We consider a nonlinear filtering problem of multiscale non-Gaussian signal processes and observation processes with jumps. Firstly, we prove that the dimension for the signal system can be reduced by a homogenized approach. Secondly,…
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…
This paper introduces the {\it particle swarm filter} (not to be confused with particle swarm optimization): a recursive and embarrassingly parallel algorithm that targets an approximation to the sequence of posterior predictive…
We establish sharp energy decay rates for a large class of nonlinearly first-order damped systems, and we design discretization schemes that inherit of the same energy decay rates, uniformly with respect to the space and/or time…
This paper contributes to the emerging viewpoint that governing equations for dynamic state estimation, conditioned on the history of noisy measurements, can be viewed as gradient flow on the manifold of joint probability density functions…
In the paper, effective filtering for a type of slow-fast data assimilation systems in Hilbert spaces is considered. Firstly, the system is reduced to a system on a random invariant manifold. Secondly, nonlinear filtering of the origin…
This paper studies formulations of second-order elliptic partial differential equations in nondivergence form on convex domains as equivalent variational problems. The first formulation is that of Smears \& S\"uli [SIAM J.\ Numer.\ Anal.\…
We propose a method to reduce non-uniform sample variance to a predetermined target level. The proposed space-variant filter can equalize variance of the non-stationary signal, or vary filtering strength based on image features, such as…
We propose a novel method for maximum likelihood-based parameter inference in nonlinear and/or non-Gaussian state space models. The method is an iterative procedure with three steps. At each iteration a particle filter is used to estimate…
We introduce a probabilistic approach to the LMS filter. By means of an efficient approximation, this approach provides an adaptable step-size LMS algorithm together with a measure of uncertainty about the estimation. In addition, the…
Second-order partial differential equations in non-divergence form are considered. Equations of this kind typically arise as subproblems for the solution of Hamilton-Jacobi-Bellman equations in the context of stochastic optimal control, or…
We propose a method for inference on moderately high-dimensional, nonlinear, non-Gaussian, partially observed Markov process models for which the transition density is not analytically tractable. Markov processes with intractable transition…
The aim of this paper is twofold: In the first part, we leverage recent results on scenario design to develop randomized algorithmsfor approximating the image set of a nonlinear mapping, that is, a (possibly noisy) mapping of a set via a…
We introduce a novel nonlinear Kalman filter that utilizes reparametrization gradients. The widely used parametric approximation is based on a jointly Gaussian assumption of the state-space model, which is in turn equivalent to minimizing…
The filtering distribution is a time-evolving probability distribution on the state of a dynamical system, given noisy observations. We study the large-time asymptotics of this probability distribution for discrete-time, randomly…
For challenging state estimation problems arising in domains like vision and robotics, particle-based representations attractively enable temporal reasoning about multiple posterior modes. Particle smoothers offer the potential for more…
Particle filters contain the promise of fully nonlinear data assimilation. They have been applied in numerous science areas, but their application to the geosciences has been limited due to their inefficiency in high-dimensional systems in…