Sequential Monte Carlo with kernel embedded mappings: the mapping particle filter

DOI10.1016/J.JCP.2019.06.060zbMATH Open1452.65009OpenAlexW2954128634MaRDI QIDQ2222425FDOQ2222425

Authors: Peter Jan van Leeuwen, M. Pulido 

Publication date: 27 January 2021

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jcp.2019.06.060

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zbMATH Keywords

optimal transportkernel embeddingparticle flowsStein variational gradient descent

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical optimization and variational techniques (65K10) Sequential estimation (62L12)

Cites Work

• Inference in hidden Markov models.
• A nonparametric ensemble transform method for Bayesian inference
• Title not available (Why is that?)
• Bayesian inference with optimal maps
• Existence and uniqueness of monotone measure-preserving maps
• Minimizing Flows for the Monge--Kantorovich Problem
• Stability of a 4th-order curvature condition arising in optimal transport theory
• Density estimation by dual ascent of the log-likelihood
• Particle Filtering With Invertible Particle Flow

Cited In (8)

• Affine-mapping based variational ensemble Kalman filter
• Ensemble transport smoothing. II: Nonlinear updates
• Ensemble transport smoothing. I: Unified framework
• A comparison of nonlinear extensions to the ensemble Kalman filter. Gaussian anamorphosis and two-step ensemble filters
• Simultaneous estimation and modeling of nonlinear, non-Gaussian state-space systems
• Model Error Estimation Using the Expectation Maximization Algorithm and a Particle Flow Filter
• p-kernel Stein variational gradient descent for data assimilation and history matching
• Coupling Techniques for Nonlinear Ensemble Filtering

Uses Software

• Adam
• ADADELTA

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