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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,695 papers · 148 categories

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3 results for “FPF”

An Optimal Transport Formulation of Bayes' Law for Nonlinear Filtering Algorithmsmath.OC

Paper uses optimal transport for Bayesian filtering, deriving new EnKF and FPF formulations.

problem Bayesian filtering for nonlinear systems with non-Gaussian observations.

method Optimal transport theory applied to Bayes' law, constructing Brenier maps.

result New variational formulations of EnKF and FPF for non-Gaussian settings.

Bayesian filtering optimal transport EnKF FPF non-Gaussian

2022-03-22abs ↗pdf ↗

Deep FPF: Gain function approximation in high-dimensional settingcs.LG

Deep FPF approximates gain function for high-dimensional particle filtering.

problem Approximating the exact gain function in high-dimensional settings.

method Represent the gain function as a neural network gradient and solve a variational Poisson equation via optimization.

result The approach allows parallel processing of particles and is applicable to high-dimensional problems.

particle filtering gain function neural networks high-dimensional stochastic optimization

2020-10-02abs ↗pdf ↗

An Optimal Transport Formulation of the Ensemble Kalman Filtereess.SY

Controlled interacting particle systems such as the ensemble Kalman filter (EnKF) and the feedback particle filter (FPF) are numerical algorithms to approximate the solution of the nonlinear filtering problem in continuous time. The distinguishing feature of these algorithms is that the Bayesian update step is implemen…

2019-10-05abs ↗pdf ↗