Kernel embedding of maps for sequential Bayesian inference: The variational mapping particle filter

Preprint English OPEN
Pulido, Manuel; vanLeeuwen, Peter Jan;
  • Subject: Mathematics - Optimization and Control | Physics - Atmospheric and Oceanic Physics | Statistics - Machine Learning | Computer Science - Learning

In this work, a novel sequential Monte Carlo filter is introduced which aims at efficient sampling of high-dimensional state spaces with a limited number of particles. Particles are pushed forward from the prior to the posterior density using a sequence of mappings that... View more
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