Related papers: A localized particle filter for geophysical data a…
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…
The particle filter is a popular Bayesian filtering algorithm for use in cases where the state-space model is nonlinear and/or the random terms (initial state or noises) are non-Gaussian distributed. We study the behavior of the error in…
We are interested in the online prediction of the electricity load, within the Bayesian framework of dynamic models. We offer a review of sequential Monte Carlo methods, and provide the calculations needed for the derivation of so-called…
The typical particle filtering approximation error is exponentially dependent on the dimension of the model. Therefore, to control this error, an enormous number of particles are required, which means a heavy computational burden that is…
Modulating the number of particles in a region is key to accurately capturing the nuances in compressible flows with Smoothed Particle Hydrodynamics (SPH). This paper presents a volume-based adaptive refinement and derefinement procedure,…
In this paper we address the problem of estimating the posterior distribution of the static parameters of a continuous time state space model with discrete time observations by an algorithm that combines the Kalman filter and a particle…
We propose a new shape analysis approach based on the non-local analysis of local shape variations. Our method relies on a novel description of shape variations, called Local Probing Field (LPF), which describes how a local probing operator…
We introduce a new class of filtrations indexed by attracting levels in dynamical systems, providing novel inputs for persistent homology and related methods in topological data analysis. These filtrations quantify, in a forward direction,…
Shallow water equations are extensively considered in the domains of oceans, atmospheric modelling, and engineering research (Franca et al., 2022), which play significant roles in floods and tsunami governance. Nonetheless, the accurate…
In this paper we consider the filtering of a class of partially observed piecewise deterministic Markov processes (PDMPs). In particular, we assume that an ordinary differential equation (ODE) drives the deterministic element and can only…
A recurrent task in coordinated systems is managing (estimating, predicting, or controlling) signals that vary in space, such as distributed sensed data or computation outcomes. Especially in large-scale settings, the problem can be…
The particle filter (PF) and the ensemble Kalman filter (EnKF) are widely used for approximate inference in state-space models. From a Bayesian perspective, these algorithms represent the prior by an ensemble of particles and update it to…
In this paper, a dual estimation methodology is developed for both time-varying parameters and states of a nonlinear stochastic system based on the Particle Filtering (PF) scheme. Our developed methodology is based on a concurrent…
Estimating and quantifying uncertainty in unknown system parameters from limited data remains a challenging inverse problem in a variety of real-world applications. While many approaches focus on estimating constant parameters, a subset of…
We present a novel Kalman filter for spatiotemporal systems called the numerical Gaussian process Kalman filter (GPKF). Numerical Gaussian processes have recently been introduced as a physics informed machine learning method for simulating…
The decentralized particle filter (DPF) was proposed recently to increase the level of parallelism of particle filtering. Given a decomposition of the state space into two nested sets of variables, the DPF uses a particle filter to sample…
Particle filters are applicable to a wide range of nonlinear, non-Gaussian state-space models and have already been applied to a variety of problems. However, there is a problem in the calculation of smoothed distributions, where particles…
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…
We propose a new sampling-based approach for approximate inference in filtering problems. Instead of approximating conditional distributions with a finite set of states, as done in particle filters, our approach approximates the…
Particle filters flexibly represent multiple posterior modes nonparametrically, via a collection of weighted samples, but have classically been applied to tracking problems with known dynamics and observation likelihoods. Such generative…