A Practical Example for the Non-linear Bayesian Filtering of Model Parameters

DOI10.1007/978-3-030-48721-8_11zbMATH Open1455.62188arXiv1807.08713OpenAlexW2914584651MaRDI QIDQ5141298FDOQ5141298

Jonas Latz, Matthieu Bulté, Elisabeth Ullmann

Publication date: 18 December 2020

Published in: Lecture Notes in Computational Science and Engineering (Search for Journal in Brave)

Abstract: In this tutorial we consider the non-linear Bayesian filtering of static parameters in a time-dependent model. We outline the theoretical background and discuss appropriate solvers. We focus on particle-based filters and present Sequential Importance Sampling (SIS) and Sequential Monte Carlo (SMC). Throughout the paper we illustrate the concepts and techniques with a practical example using real-world data. The task is to estimate the gravitational acceleration of the Earth $g$ by using observations collected from a simple pendulum. Importantly, the particle filters enable the adaptive updating of the estimate for $g$ as new observations become available. For tutorial purposes we provide the data set and a Python implementation of the particle filters.

Full work available at URL: https://arxiv.org/abs/1807.08713

zbMATH Keywords

sequential Monte Carlosequential importance samplingmodel parameterstime-dependent modelnonlinear Bayesian filteringparticle-based filters

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Inference from stochastic processes and prediction (62M20) Sequential estimation (62L12) Applications of statistics to physics (62P35) Potentials, prospecting (86A20)

Cites Work

• Sequential Monte Carlo Samplers
• Asymptotic Statistics
• The Bayesian Choice
• Title not available (Why is that?)
• Title not available (Why is that?)
• Statistical and computational inverse problems.
• Title not available (Why is that?)
• Title not available (Why is that?)
• Importance sampling: intrinsic dimension and computational cost
• Inverse problems: a Bayesian perspective
• Probability theory. A comprehensive course
• Mean field simulation for Monte Carlo integration
• On the convergence of adaptive sequential Monte Carlo methods
• Sequential Monte Carlo Methods for High-Dimensional Inverse Problems: A Case Study for the Navier--Stokes Equations
• Bayesian Parameter Identification in Cahn--Hilliard Models for Biological Growth
• Sequential Monte Carlo methods for Bayesian elliptic inverse problems
• Sequential Monte Carlo Samplers: Error Bounds and Insensitivity to Initial Conditions
• Bayesian filtering and smoothing
• A Fresh Look at the Kalman Filter
• Multilevel sequential Monte Carlo samplers
• Analysis of the Ensemble Kalman Filter for Inverse Problems
• Multilevel sequential Monte Carlo for Bayesian inverse problems
• Data Assimilation
• Selection and validation of predictive models of radiation effects on tumor growth based on noninvasive imaging data
• Bayesian calibration, validation and uncertainty quantification for predictive modelling of tumour growth: a tutorial
• Estimating Parameters in Physical Models through Bayesian Inversion: A Complete Example
• Importance Sampling and Necessary Sample Size: An Information Theory Approach
• Negative association, ordering and convergence of resampling methods

Cited In (2)

• Non-parametric Bayesian networks for parameter estimation in reservoir simulation: a graphical take on the ensemble Kalman filter. I
• Environmental stress level to model tumor cell growth and survival

Uses Software

• EnKF

This page was built for publication: A Practical Example for the Non-linear Bayesian Filtering of Model Parameters

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5141298)