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Kernel learning backward SDE filter for data assimilation
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DOI：10.1016/j.jcp.2022.111009.png)
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Abstract
En 中文
In this paper, we develop a kernel learning backward SDE filter method to estimate the state of a stochastic dynamical system based on its partial noisy observations. A system of forward backward stochastic differential equations is used to propagate the state of the target dynamical model, and Bayesian inference is applied to incorporate the observational information. To characterize the dynamical model in the entire state space, we introduce a kernel learning method to learn a continuous global approximation for the conditional probability density function of the target state by using discrete approximated density values as training data. Numerical experiments demonstrate that the kernel learning backward SDE is highly effective. (C) 2022 Elsevier Inc. All rights reserved.
Keywords:
Nonlinear filtering problem
Backward stochastic differential equations
Kernel learning
Stochastic optimization
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