Related papers: Filtering Dynamical Systems Using Observations of …
We investigate the performance of a class of particle filters (PFs) that can automatically tune their computational complexity by evaluating online certain predictive statistics which are invariant for a broad class of state-space models.…
State-space models can be used to incorporate subject knowledge on the underlying dynamics of a time series by the introduction of a latent Markov state-process. A user can specify the dynamics of this process together with how the state…
Solving the Fokker-Planck equation for high-dimensional complex turbulent dynamical systems is an important and practical issue. However, most traditional methods suffer from the curse of dimensionality and have difficulties in capturing…
The intersection between classical data assimilation methods and novel machine learning techniques has attracted significant interest in recent years. Here we explore another promising solution in which diffusion models are used to…
Stochastic models of chemical systems are often analysed by solving the corresponding Fokker-Planck equation which is a drift-diffusion partial differential equation for the probability distribution function. Efficient numerical solution of…
Bayesian inference can be embedded into an appropriately defined dynamics in the space of probability measures. In this paper, we take Brownian motion and its associated Fokker--Planck equation as a starting point for such embeddings and…
Ensemble Kalman--Bucy filters (EnKBFs) are an important tool in Data Assimilation that aim to approximate the posterior distribution for continuous time filtering problems using an ensemble of interacting particles. In this work we extend a…
The Ensemble Kalman Filters (EnKF) employ a Monte-Carlo approach to represent covariance information, and are affected by sampling errors in operational settings where the number of model realizations is much smaller than the model state…
The Ensemble Kalman Filter method can be used as an iterative particle numerical scheme for state dynamics estimation and control--to--observable identification problems. In applications it may be required to enforce the solution to satisfy…
We address the problem of observation noise misspecification in Bayesian filtering of dynamical systems via recent advances in generalised Bayesian inference. Mis-match in tail decay between the true data generating process and an assumed…
In this paper, stochastic optimal control problems in continuous time and space are considered. In recent years, such problems have received renewed attention from the lens of reinforcement learning (RL) which is also one of our motivation.…
Particle filtering (PF) is an often used method to estimate the states of dynamical systems. A major limitation of the standard PF method is that the dimensionality of the state space increases as the time proceeds and eventually may cause…
Filtering is concerned with online estimation of the state of a dynamical system from partial and noisy observations. In applications where the state is high dimensional, ensemble Kalman filters are often the method of choice. This paper…
Particle-based stochastic approximations of the Boltzmann equation are popular tools for simulations of non-equilibrium gas flows, for which the Navier-Stokes-Fourier equations fail to provide accurate description. However, these numerical…
The ensemble Kalman filter (EnKF) (Evensen, 2009) has proven effective in quantifying uncertainty in a number of challenging dynamic, state estimation, or data assimilation, problems such as weather forecasting and ocean modeling. In these…
Particle filters (PFs) are recursive Monte Carlo algorithms for Bayesian tracking and prediction in state space models. This paper addresses continuous-discrete filtering problems, where the hidden state evolves as an It\^o stochastic…
The Benchmarck on the Aerodynamics of a Rectangular 5:1 Cylinder is studied using a data-driven technique which bridges numerical simulation and available experimental results. Because of intrinsic features of the tools used for…
In the past few decades, the development of fluorescent technologies and microscopic techniques has greatly improved scientists' ability to observe real-time single-cell activities. In this paper, we consider the filtering problem associate…
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 is concerned with the mathematical analysis of continuous time Ensemble Kalman Filters (EnKBFs) and their mean field limit in an infinite dimensional setting. The signal is determined by a nonlinear Stochastic Partial…