Related papers: Coupling-Informed Transport Maps for Bayesian Filt…
In this work we propose a framework to address the issue of state dependent nonlinear equality-constrained state estimation using Bayesian filtering. This framework is constructed specifically for a linear approximation of Bayesian…
Many dynamical systems are subjected to stochastic influences, such as random excitations, noise, and unmodeled behavior. Tracking the system's state and parameters based on a physical model is a common task for which filtering algorithms,…
We present the fundamentals of a measure transport approach to sampling. The idea is to construct a deterministic coupling---i.e., a transport map---between a complex "target" probability measure of interest and a simpler reference measure.…
In this paper, we present a new ensemble-based filter method by reconstructing the analysis step of the particle filter through a transport map, which directly transports prior particles to posterior particles. The transport map is…
The nonlinear filtering problem is concerned with finding the conditional probability distribution (posterior) of the state of a stochastic dynamical system, given a history of partial and noisy observations. This paper presents a…
A multivariate distribution can be described by a triangular transport map from the target distribution to a simple reference distribution. We propose Bayesian nonparametric inference on the transport map by modeling its components using…
We present a flexible method for computing Bayesian optimal experimental designs (BOEDs) for inverse problems with intractable posteriors. The approach is applicable to a wide range of BOED problems and can accommodate various optimality…
We propose a method for optimal Bayesian filtering with deterministic particles. In order to avoid particle degeneration, the filter step is not performed at once. Instead, the particles progressively flow from prior to posterior. This is…
This paper presents a variational representation of the Bayes' law using optimal transportation theory. The variational representation is in terms of the optimal transportation between the joint distribution of the (state, observation) and…
Machine learning systems operate under the assumption that training and test data are sampled from a fixed probability distribution. However, this assumptions is rarely verified in practice, as the conditions upon which data was acquired…
We develop an iterative framework for Bayesian inference problems where the posterior distribution may involve computationally intensive models, intractable gradients, significant posterior concentration, and pronounced non-Gaussianity. Our…
We present a new approach to Bayesian inference that entirely avoids Markov chain simulation, by constructing a map that pushes forward the prior measure to the posterior measure. Existence and uniqueness of a suitable measure-preserving…
Sampling conditional distributions is a fundamental task for Bayesian inference and density estimation. Generative models, such as normalizing flows and generative adversarial networks, characterize conditional distributions by learning a…
In many scientific fields imaging is used to relate a certain physical quantity to other dependent variables. Therefore, images can be considered as a map from a real-world coordinate system to the non-negative measurements being acquired.…
The distributed filtering problem sequentially estimates a global state variable using observations from a network of local sensors with different measurement models. In this work, we introduce a novel methodology for distributed nonlinear…
We present a new transport-based approach to efficiently perform sequential Bayesian inference of static model parameters. The strategy is based on the extraction of conditional distribution from the joint distribution of parameters and…
In this paper we extend recent developments in computational optimal transport to the setting of Riemannian manifolds. In particular, we show how to learn optimal transport maps from samples that relate probability distributions defined on…
We consider filtering in high-dimensional non-Gaussian state-space models with intractable transition kernels, nonlinear and possibly chaotic dynamics, and sparse observations in space and time. We propose a novel filtering methodology that…
This paper is concerned with the theoretical and computational development of a new class of nonlinear filtering algorithms called the optimal transport particle filters (OTPF). The algorithm is based on a recently introduced variational…
Computing optimal, collision-free trajectories for high-dimensional systems is a challenging problem. Sampling-based planners struggle with the dimensionality, whereas trajectory optimizers may get stuck in local minima due to inherent…