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

DOI10.1016/J.JCP.2019.06.060MaRDI QIDQ2222425zbMATH OpenOpenAlexFDO

Authors Peter Jan van Leeuwen, M. Pulido

Publication date 27 January 2021

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

Copyright license Creative Commons Attribution 4.0 International

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

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)

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Cites work

• scientific article; zbMATH DE number 1666093 (Why is no real title available?)
• A nonparametric ensemble transform method for Bayesian inference
• Bayesian inference with optimal maps
• Density estimation by dual ascent of the log-likelihood
• Existence and uniqueness of monotone measure-preserving maps
• Inference in hidden Markov models.
• Minimizing Flows for the Monge--Kantorovich Problem
• Particle Filtering With Invertible Particle Flow
• Stability of a 4th-order curvature condition arising in optimal transport theory

Cited in

(10)

• Filtering with state-observation examples via kernel Monte Carlo filter
• Coupling techniques for nonlinear ensemble filtering
• 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
• p-kernel Stein variational gradient descent for data assimilation and history matching
• Particles resampling scheme using regularized optimal transport for sequential Monte Carlo filters
• Model error estimation using the expectation maximization algorithm and a particle flow filter

Describes a project that uses

Uses Software

• ADADELTA
• Adam

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