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

DOI10.1080/17415977.2020.1862109MaRDI QIDQ5152273zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Bayesian sequential inferencedynamical systemfilteringnumerical solution of partial differential equationstensor train

Mathematics Subject Classification ID

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

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Cites work

• A tensor decomposition algorithm for large ODEs with conservation laws
• A theory of pseudoskeleton approximations
• Approximation and sampling of multivariate probability distributions in the tensor train decomposition
• Chaos, fractals, and noise: Stochastic aspects of dynamics.
• Constructive representation of functions in low-rank tensor formats
• DMRG approach to fast linear algebra in the TT-format
• scientific article; zbMATH DE number 1666084 (Why is no real title available?)
• scientific article; zbMATH DE number 6159604 (Why is no real title available?)
• Numerical approximation of the Frobenius-Perron operator using the finite volume method
• Parallel cross interpolation for high-precision calculation of high-dimensional integrals
• Spectral Methods in MATLAB
• Stochastic processes and filtering theory
• Tensor-train decomposition
• TT-cross approximation for multidimensional arrays

Cited in

(1)

• Efficient quadratures for high-dimensional Bayesian data assimilation

Describes a project that uses

Uses Software

• Matlab

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