The adaptive patched cubature filter and its implementation

DOI10.4310/CMS.2016.V14.N3.A9MaRDI QIDQ275115zbMATH OpenFDO

Authors Wonjung Lee, Terence J. Lyons

Publication date 25 April 2016

Published in Communications in Mathematical Sciences (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1509.04239

zbMATH Keywords

adaptive patched cubature filterBayesian statisticscubatureparticle filterrecombinationstochastic differential equationsWiener space

Mathematics Subject Classification ID

Sample path properties (60G17) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic particle methods (65C35) Filtering in stochastic control theory (93E11) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Sampling theory in information and communication theory (94A20)

Abstract: There are numerous contexts where one wishes to describe the state of a randomly evolving system. Effective solutions combine models that quantify the underlying uncertainty with available observational data to form scientifically reasonable estimates for the uncertainty in the system state. Stochastic differential equations are often used to mathematically model the underlying system. The Kusuoka-Lyons-Victoir (KLV) approach is a higher order particle method for approximating the weak solution of a stochastic differential equation that uses a weighted set of scenarios to approximate the evolving probability distribution to a high order of accuracy. The algorithm can be performed by integrating along a number of carefully selected bounded variation paths. The iterated application of the KLV method has a tendency for the number of particles to increase. This can be addressed and, together with local dynamic recombination, which simplifies the support of discrete measure without harming the accuracy of the approximation, the KLV method becomes eligible to solve the filtering problem in contexts where one desires to maintain an accurate description of the ever-evolving conditioned measure. In addition to the alternate application of the KLV method and recombination, we make use of the smooth nature of the likelihood function and high order accuracy of the approximations to lead some of the particles immediately to the next observation time and to build into the algorithm a form of automatic high order adaptive importance sampling.

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Cited in

(3)

• Markov cubature rules for polynomial processes
• A cubatureH_∞filter and its square-root version
• Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction

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