Particle Filtering for Stochastic Navier--Stokes Signal Observed with Linear Additive Noise
From MaRDI portal
Publication:5745136
DOI10.1137/17M1151900zbMath1391.60083arXiv1710.04586OpenAlexW2962837870MaRDI QIDQ5745136
Alexandros Beskos, Francesc Pons Llopis, Nikolas Kantas, Ajay Jasra
Publication date: 5 June 2018
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1710.04586
particle filtersstochastic filteringstochastic Navier-Stokespreconditioned Crank-Nicolson Markov chain Monte Carlo
Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Navier-Stokes equations (35Q30)
Related Items (10)
A Lagged Particle Filter for Stable Filtering of Certain High-Dimensional State-Space Models ⋮ Splitting-up spectral method for nonlinear filtering problems with correlation noises ⋮ Advanced Multilevel Monte Carlo Methods ⋮ Multiscale modeling and analysis for some special additive noises driven stochastic partial differential equations ⋮ A fast particle-based approach for calibrating a 3-D model of the Antarctic ice sheet ⋮ Accuracy of Some Approximate Gaussian Filters for the Navier--Stokes Equation in the Presence of Model Error ⋮ Multilevel ensemble Kalman filtering for spatio-temporal processes ⋮ Data assimilation: The Schrödinger perspective ⋮ An application of the splitting-up method for the computation of a neural network representation for the solution for the filtering equations ⋮ Joint Online Parameter Estimation and Optimal Sensor Placement for the Partially Observed Stochastic Advection-Diffusion Equation
Uses Software
Cites Work
- Unnamed Item
- On the convergence of adaptive sequential Monte Carlo methods
- Determining white noise forcing from Eulerian observations in the Navier-Stokes equation
- Nonasymptotic analysis of adaptive and annealed Feynman-Kac particle models
- Implicit particle filters for data assimilation
- Fundamentals of stochastic filtering
- Bayesian inference for nonlinear multivariate diffusion models observed with error
- Particle filtering with path sampling and an application to a bimodal ocean current model
- A note on Metropolis-Hastings kernels for general state spaces
- Dissipativity and invariant measures for stochastic Navier-Stokes equations
- Stochastic Navier-Stokes equations: Analysis of the noise to have a unique invariant measure
- Improved bridge constructs for stochastic differential equations
- Large deviation for Navier-Stokes equations with small stochastic perturbation
- Proposals which speed up function-space MCMC
- Nonlinear data assimilation
- Dimension-independent likelihood-informed MCMC
- Application of Girsanov theorem to particle filtering of discretely observed continuous-time non-linear systems
- Sequential Monte Carlo Methods in Practice
- Mean Field Simulation for Monte Carlo Integration
- Inverse problems: A Bayesian perspective
- Mathematics of Two-Dimensional Turbulence
- Inference for Lévy-Driven Stochastic Volatility Models via Adaptive Sequential Monte Carlo
- Sequential Monte Carlo Methods for High-Dimensional Inverse Problems: A Case Study for the Navier--Stokes Equations
- Multilevel Sequential Monte Carlo with Dimension-Independent Likelihood-Informed Proposals
- Comparison of sequential data assimilation methods for the Kuramoto-Sivashinsky equation
- Sequential Monte Carlo Samplers
- Stochastic Equations in Infinite Dimensions
- Overcoming the order barrier in the numerical approximation of stochastic partial differential equations with additive space–time noise
- A sequential particle filter method for static models
- References
- Bayesian estimation of incompletely observed diffusions
- A stable particle filter for a class of high-dimensional state-space models
- Data Assimilation
- Filtering Complex Turbulent Systems
- Dimensional reduction for a Bayesian filter
- Data Assimilation
- MCMC methods for functions: modifying old algorithms to make them faster
This page was built for publication: Particle Filtering for Stochastic Navier--Stokes Signal Observed with Linear Additive Noise
