Grid methods for Bayes-optimal continuous-discrete filtering and utilizing a functional tensor train representation

DOI10.1080/17415977.2020.1862109zbMATH Open1469.65144OpenAlexW3119822608MaRDI QIDQ5152273FDOQ5152273

Authors: Malcolm E. K. Morrison, Timothy C. A. Molteno, Colin Fox, Sergey Dolgov 

Publication date: 17 September 2021

Published in: Inverse Problems in Science and Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17415977.2020.1862109

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zbMATH Keywords

dynamical systemfilteringnumerical solution of partial differential equationstensor trainBayesian sequential inference

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Numerical linear algebra (65F99) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32)

Cites Work

• Stochastic processes and filtering theory
• Title not available (Why is that?)
• Tensor-train decomposition
• TT-cross approximation for multidimensional arrays
• A theory of pseudoskeleton approximations
• Spectral Methods in MATLAB
• Chaos, fractals, and noise: Stochastic aspects of dynamics.
• DMRG approach to fast linear algebra in the TT-format
• Title not available (Why is that?)
• Constructive representation of functions in low-rank tensor formats
• Approximation and sampling of multivariate probability distributions in the tensor train decomposition
• Parallel cross interpolation for high-precision calculation of high-dimensional integrals
• Numerical approximation of the Frobenius-Perron operator using the finite volume method
• A tensor decomposition algorithm for large ODEs with conservation laws

Cited In (1)

• Efficient quadratures for high-dimensional Bayesian data assimilation

Uses Software

• Matlab

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