Feedback particle filter for collective inference

DOI10.3934/fods.2021018zbMath1481.93131arXiv2010.06655OpenAlexW3189037632MaRDI QIDQ2072656

Amirhossein Taghvaei, Jin-Won Kim, Prashant G. Mehta, Yongxin Chen

Publication date: 26 January 2022

Published in: Foundations of Data Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2010.06655

zbMATH Keywords

ensemble Kalman filtercollective inferencedata associationcollective filteringfeedback particle filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Feedback control (93B52)

Cites Work

• On the relation between optimal transport and Schrödinger bridges: a stochastic control viewpoint
• Multivariable feedback particle filter
• A dynamical systems framework for intermittent data assimilation
• Fundamentals of stochastic filtering
• A simple proof of the Poincaré inequality for a large class of probability measures
• Feedback Particle Filter for a Continuous-time Markov Chain
• Sequential Monte Carlo Methods for Tracking Multiple Targets With Deterministic and Stochastic Constraints
• How to Avoid the Curse of Dimensionality: Scalability of Particle Filters with and without Importance Weights
• Multi-Marginal Optimal Transport and Probabilistic Graphical Models
• An Optimal Transport Formulation of the Ensemble Kalman Filter
• McKean--Vlasov SDEs in Nonlinear Filtering
• Poisson's Equation in Nonlinear Filtering
• The probabilistic data association filter