Adaptive approximation of higher order posterior statistics

DOI10.1016/J.JCP.2013.11.015zbMATH Open1349.62443OpenAlexW2048686071MaRDI QIDQ348651FDOQ348651

Authors: Wonjung Lee 

Publication date: 5 December 2016

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

Full work available at URL: https://doi.org/10.1016/j.jcp.2013.11.015

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zbMATH Keywords

data assimilationuncertainty quantificationWiener chaos expansionnonlinear filtering

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cites Work

• Sequential Monte Carlo Methods in Practice
• Stochastic processes and filtering theory
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• Mixture Kalman Filters
• Deterministic Nonperiodic Flow
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• A survey of convergence results on particle filtering methods for practitioners
• Monomial cubature rules since ``Stroud: A compilation
• Exact finite-dimensional filters for certain diffusions with nonlinear drift
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• Stochastic Navier--Stokes Equations for Turbulent Flows
• High-Order Collocation Methods for Differential Equations with Random Inputs
• Dynamical Properties of Truncated Wiener-Hermite Expansions
• Cubature Kalman Filters
• The ensemble Kalman filter for combined state and parameter estimation
• A stochastic collocation based Kalman filter for data assimilation
• The orthogonal development of non-linear functionals in series of Fourier-Hermite functionals
• Bridging the ensemble Kalman filter and particle filters: The adaptive Gaussian mixture filter
• Asymmetric Cubature Formulae with Few Points in High Dimension for Symmetric Measures
• Dimensional reduction for a Bayesian filter
• Relationship between a Wiener–Hermite expansion and an energy cascade
• A generalized polynomial chaos based ensemble Kalman filter with high accuracy
• Numerical integration formulas of degree two
• A nonlinear test model for filtering slow-fast systems

Cited In (3)

• Higher-order Bayesian Approximations for Pseudo-posterior Distributions
• Multi-moment statistical characterization and nonlinear filtering of chaos
• Bayesian adaptive estimation: the next dimension

Uses Software

• EnKF

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