McKean--Vlasov SDEs in Nonlinear Filtering

DOI10.1137/20M1355197zbMath1474.93223arXiv2007.12658OpenAlexW3208514947MaRDI QIDQ5163690

Sahani D. Pathiraja, Wilhelm Stannat, Sebastian Reich

Publication date: 5 November 2021

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2007.12658

zbMATH Keywords

well-posednessPoincaré inequalitynonlinear filteringdata assimilationmean-field equationsMcKean-Vlasovfeedback particle filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Feedback control (93B52) Nonlinear systems in control theory (93C10)

Related Items (12)

A Unification of Weighted and Unweighted Particle Filters ⋮ On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering ⋮ A theoretical analysis of one-dimensional discrete generation ensemble Kalman particle filters ⋮ Analysis of the ensemble Kalman-Bucy filter for correlated observation noise ⋮ Log-Concave Posterior Densities Arising in Continuous Filtering and a Maximum A Posteriori Algorithm ⋮ Machine learning-based conditional mean filter: a generalization of the ensemble Kalman filter for nonlinear data assimilation ⋮ Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering ⋮ Filtering dynamical systems using observations of statistics ⋮ Multivariate feedback particle filter rederived from the splitting-up scheme ⋮ Feedback particle filter for collective inference ⋮ Analysis of the feedback particle filter with diffusion map based approximation of the gain ⋮ Controlled interacting particle algorithms for simulation-based reinforcement learning

Uses Software

• Unnamed Item

Cites Work

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