A Stable Particle Filter in High Dimensions
组织者
演讲者
孙泽钜
时间
2023年02月21日 21:00 至 21:30
地点
Online
摘要
In this talk, we will discuss a paper entitled 'A Stable Particle Filter in High Dimensions' by Beskos et al. In this paper, the authors develop a new particle filter called 'space-time particle filter' for a specific family of state space models in discrete time. This algorithm exhibits certain stable properties with a cost only polynomially increase with the dimension of the filtering system. We will mainly focus on the theoretical convergence results of this algorithm.