Analysis of the feedback particle filter with diffusion map based approximation of the gain

DOI10.3934/fods.2021023zbMath1481.93134arXiv2109.02761OpenAlexW3199174655MaRDI QIDQ2072660

Wilhelm Stannat, Sahani D. Pathiraja

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/2109.02761

zbMATH Keywords

nonlinear filteringPoisson equationpropagation of chaosstochastic analysisdiffusion maps

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Control/observation systems governed by partial differential equations (93C20) Feedback control (93B52) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items

Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering

Uses Software

• EnKF

Cites Work

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