Data assimilation: The Schrödinger perspective
From MaRDI portal
Publication:5230525
DOI10.1017/S0962492919000011zbMath1437.62350arXiv1807.08351OpenAlexW3101653947MaRDI QIDQ5230525
Publication date: 28 August 2019
Published in: Acta Numerica (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1807.08351
Inference from stochastic processes and prediction (62M20) General theory of stochastic processes (60G07) Sequential statistical analysis (62L10)
Related Items (21)
Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space ⋮ Multilevel estimation of normalization constants using ensemble Kalman-Bucy filters ⋮ Information geometry of operator scaling ⋮ A Unification of Weighted and Unweighted Particle Filters ⋮ Convergence acceleration of ensemble Kalman inversion in nonlinear settings ⋮ Ensemble Inference Methods for Models With Noisy and Expensive Likelihoods ⋮ An optimal control approach to particle filtering ⋮ Analysis of the ensemble Kalman-Bucy filter for correlated observation noise ⋮ Tikhonov Regularization within Ensemble Kalman Inversion ⋮ 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 ⋮ Stein variational gradient descent: many-particle and long-time asymptotics ⋮ An Optimal Control Derivation of Nonlinear Smoothing Equations ⋮ McKean--Vlasov SDEs in Nonlinear Filtering ⋮ Ensemble Kalman inversion: mean-field limit and convergence analysis ⋮ Discrete gradients for computational Bayesian inference ⋮ Inverse Optimal Transport ⋮ Some new results on relative entropy production, time reversal, and optimal control of time-inhomogeneous diffusion processes ⋮ Fokker--Planck Particle Systems for Bayesian Inference: Computational Approaches ⋮ Bayesian learning via neural Schrödinger-Föllmer flows ⋮ Stochastic gradient descent and fast relaxation to thermodynamic equilibrium: A stochastic control approach
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Computational Optimal Transport: With Applications to Data Science
- On particle methods for parameter estimation in state-space models
- On the relation between optimal transport and Schrödinger bridges: a stochastic control viewpoint
- Adaptive importance sampling for control and inference
- A survey of the Schrödinger problem and some of its connections with optimal transport
- Optimal control as a graphical model inference problem
- A random map implementation of implicit filters
- A dynamical systems framework for intermittent data assimilation
- Bayesian inference with optimal maps
- Hybrid Monte Carlo on Hilbert spaces
- A stochastic control approach to reciprocal diffusion processes
- Fundamentals of stochastic filtering
- Entropy minimization and Schrödinger processes in infinite dimensions
- Geometric MCMC for infinite-dimensional inverse problems
- Importance sampling: intrinsic dimension and computational cost
- Online natural gradient as a Kalman filter
- Existence and uniqueness of monotone measure-preserving maps
- Bayesian learning for neural networks
- Ensemble data assimilation for hyperbolic systems
- Controlled sequential Monte Carlo
- Discrete gradients for computational Bayesian inference
- Nonlinear data assimilation
- Maximum-likelihood recursive nonlinear filtering
- Stochastic processes and filtering theory
- Sequential Monte Carlo Methods in Practice
- Nonlinear stability and ergodicity of ensemble based Kalman filters
- A Nonparametric Ensemble Transform Method for Bayesian Inference
- Bridging the ensemble Kalman and particle filters
- Backward Simulation Methods for Monte Carlo Statistical Inference
- Well-posedness and accuracy of the ensemble Kalman filter in discrete and continuous time
- Optimal Steering of a Linear Stochastic System to a Final Probability Distribution, Part I
- Numerical methods for strong solutions of stochastic differential equations: an overview
- Simulating Hamiltonian Dynamics
- Long-Time Stability and Accuracy of the Ensemble Kalman--Bucy Filter for Fully Observed Processes and Small Measurement Noise
- Entropic and Displacement Interpolation: A Computational Approach Using the Hilbert Metric
- Deterministic diffusion of particles
- A Deterministic Approximation of Diffusion Equations Using Particles
- Convergence of the Square Root Ensemble Kalman Filter in the Large Ensemble Limit
- Approximate McKean–Vlasov representations for a class of SPDEs
- Curse-of-dimensionality revisited: Collapse of the particle filter in very large scale systems
- A Variational Approach to Nonlinear Estimation
- Data-Driven Computational Methods
- A Strongly Convergent Numerical Scheme from Ensemble Kalman Inversion
- Deterministic Nonperiodic Flow
- A Mean-Field Optimal Control Formulation for Global Optimization
- Particle Smoothing for Hidden Diffusion Processes: Adaptive Path Integral Smoother
- Scaling Limit of the Stein Variational Gradient Descent: The Mean Field Regime
- Optimization Methods for Large-Scale Machine Learning
- Stochastic Processes and Applications
- Probabilistic Forecasting and Bayesian Data Assimilation
- Geometric integrators and the Hamiltonian Monte Carlo method
- Poisson's Equation in Nonlinear Filtering
- Data Assimilation
- Analysis of the Ensemble Kalman Filter for Inverse Problems
- Data Assimilation
- Feedback Particle Filter
- Second-order Accurate Ensemble Transform Particle Filters
- Diagonal Equivalence to Matrices with Prescribed Row and Column Sums
- A Hybrid Ensemble Transform Particle Filter for Nonlinear and Spatially Extended Dynamical Systems
- Particle Filtering for Stochastic Navier--Stokes Signal Observed with Linear Additive Noise
- Data Assimilation
- Optimal Transport
- Monte Carlo strategies in scientific computing
This page was built for publication: Data assimilation: The Schrödinger perspective
