A score-based filter for nonlinear data assimilation

DOI10.1016/J.JCP.2024.113207MaRDI QIDQ6589868FDOQ6589868

Authors: Feng Bao, Zezhong Zhang, Guannan Zhang 

Publication date: 20 August 2024

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

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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)

Cites Work

• Filtering via Simulation: Auxiliary Particle Filters
• Particle Markov Chain Monte Carlo Methods
• A Connection Between Score Matching and Denoising Autoencoders
• On the optimal filtering of diffusion processes
• The ensemble Kalman filter for combined state and parameter estimation
• Improved particle filters for multi-target tracking
• A drift homotopy implicit particle filter method for nonlinear filtering problems
• Adaptive meshfree backward SDE filter
• Improved distributed particle filters for tracking in a wireless sensor network
• Stochastic filtering with application in finance
• A hybrid sparse-grid approach for nonlinear filtering problems based on adaptive-domain of the Zakai equation approximations
• Data assimilation of synthetic data as a novel strategy for predicting disease progression in alopecia areata
• Lévy backward SDE filter for jump diffusion processes and its applications in material sciences
• Large deviations for the optimal filter of nonlinear dynamical systems driven by Lévy noise
• Title not available (Why is that?)

Cited In (1)

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

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