Deep filtering

Abstract

This paper develops a deep learning method for linear and nonlinear filtering. The idea is to start with a nominal dynamic model and generate Monte Carlo sample paths. Then these samples are used to train a deep neutral network. A least square error is used as a loss function for network training. Then the resulting weights are applied to Monte Carlo sampl\ es from an actual dynamic model. The deep filter obtained in such a way compares favorably to the traditional Kalman filter in linear cases and the extended Kalman filter in nonlinear cases. Moreover, a switching model with jumps is studied to show the adaptiveness and power of our deep filtering method. A main advantage of deep filtering is its robustness when the nominal model and actual model differ. Another advantage of deep filtering is that real data can be used directly to train the deep neutral network. Therefore, one does not need to calibrate the model.