A practical example for the non-linear Bayesian filtering of model parameters

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

Authors: Matthieu Bulté, Jonas Latz, 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

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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)

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Cited In (3)

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• Estimating parameters in physical models through Bayesian inversion: a complete example

Uses Software

• EnKF

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