A convergent scheme for the Bayesian filtering problem based on the Fokker--Planck equation and deep splitting

A convergent scheme for the Bayesian filtering problem based on the Fokker--Planck equation and deep splitting

20 January 2025

Kasper Bågmark

Papers citing "A convergent scheme for the Bayesian filtering problem based on the Fokker--Planck equation and deep splitting"

16 / 16 papers shown

Title
Learning Optimal Filters Using Variational Inference Enoch Luk Eviatar Bach Ricardo Baptista Andrew Stuart 62 7 0 26 Jun 2024
Conditioning diffusion models by explicit forward-backward bridging Adrien Corenflos Zheng Zhao Simo Särkkä Jens Sjölund Thomas B. Schön DiffM 86 6 0 22 May 2024
Score-Based Physics-Informed Neural Networks for High-Dimensional Fokker-Planck Equations Zheyuan Hu Zhongqiang Zhang George Karniadakis Kenji Kawaguchi 70 14 0 12 Feb 2024
Particle-MALA and Particle-mGRAD: Gradient-based MCMC methods for high-dimensional state-space models Adrien Corenflos Axel Finke 33 4 0 26 Jan 2024
Optimal Approximation Rates for Deep ReLU Neural Networks on Sobolev and Besov Spaces Jonathan W. Siegel 98 30 0 25 Nov 2022
Deep Learning for the Benes Filter Alexander Lobbe 46 3 0 09 Mar 2022
Convergence of a robust deep FBSDE method for stochastic control Kristoffer Andersson Adam Andersson C. Oosterlee 61 20 0 18 Jan 2022
An application of the splitting-up method for the computation of a neural network representation for the solution for the filtering equations Dan Crisan Alexander Lobbe S. Ortiz-Latorre 41 4 0 10 Jan 2022
Conditional sequential Monte Carlo in high dimensions Axel Finke Alexandre Hoang Thiery 23 6 0 23 Aug 2021
Automatic Backward Filtering Forward Guiding for Markov processes and graphical models Frank van der Meulen Moritz Schauer 45 12 0 07 Oct 2020
DeepONet: Learning nonlinear operators for identifying differential equations based on the universal approximation theorem of operators Lu Lu Pengzhan Jin George Karniadakis 216 2,108 0 08 Oct 2019
Deep splitting method for parabolic PDEs C. Beck S. Becker Patrick Cheridito Arnulf Jentzen Ariel Neufeld 54 127 0 08 Jul 2019
A High-Dimensional Particle Filter Algorithm J. Quinn 28 3 0 29 Jan 2019
Solving the Kolmogorov PDE by means of deep learning C. Beck S. Becker Philipp Grohs Nor Jaafari Arnulf Jentzen 46 95 0 01 Jun 2018
The Deep Ritz method: A deep learning-based numerical algorithm for solving variational problems E. Weinan Ting Yu 115 1,380 0 30 Sep 2017
Can local particle filters beat the curse of dimensionality? Patrick Rebeschini R. Handel 99 239 0 28 Jan 2013