A score-based filter for nonlinear data assimilation

DOI10.1016/J.JCP.2024.113207MaRDI QIDQ6589868zbMATH OpenFDO

Authors Feng Bao, Zezhong Zhang, Guannan Zhang

Publication date 20 August 2024

Published in Journal of Computational Physics (Search for Journal in Brave)

zbMATH Keywords

Kalman filterdiffusion modelparticle filterstochastic dynamical systemsnonlinear filteringscore-based models

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65Cxx) Inference from stochastic processes (62Mxx) Stochastic systems and control (93Exx)

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Cites work

• scientific article; zbMATH DE number 7625200 (Why is no real title available?)
• A Connection Between Score Matching and Denoising Autoencoders
• A drift homotopy implicit particle filter method for nonlinear filtering problems
• A hybrid sparse-grid approach for nonlinear filtering problems based on adaptive-domain of the Zakai equation approximations
• Adaptive meshfree backward SDE filter
• Data assimilation of synthetic data as a novel strategy for predicting disease progression in alopecia areata
• Filtering via Simulation: Auxiliary Particle Filters
• Improved distributed particle filters for tracking in a wireless sensor network
• Improved particle filters for multi-target tracking
• Large deviations for the optimal filter of nonlinear dynamical systems driven by Lévy noise
• Lévy backward SDE filter for jump diffusion processes and its applications in material sciences
• On the optimal filtering of diffusion processes
• Particle Markov Chain Monte Carlo Methods
• Stochastic filtering with application in finance
• The ensemble Kalman filter for combined state and parameter estimation

Cited in

(1)

• An ensemble score filter for tracking high-dimensional nonlinear dynamical systems

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