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引用次数: 0
摘要
核学习前向后向 SDE 滤波器是一种解决非线性滤波问题的迭代和自适应无网格方法。它以福克-普朗克方程的前向后向 SDE 为基础,定义了状态变量的演化密度,并利用 KDE 逼近密度。与主流粒子滤波方法相比,该算法在收敛速度和解决高维度问题的效率方面都表现出更优越的性能。然而,这种方法只在经验上证明了收敛性。在本文中,我们将通过严格的分析来证明其局部和全局收敛性,并为其经验结果提供理论支持。
Convergence analysis of kernel learning FBSDE filter
Kernel learning forward backward SDE filter is an iterative and adaptive
meshfree approach to solve the nonlinear filtering problem. It builds from
forward backward SDE for Fokker-Planker equation, which defines evolving
density for the state variable, and employs KDE to approximate density. This
algorithm has shown more superior performance than mainstream particle filter
method, in both convergence speed and efficiency of solving high dimension
problems. However, this method has only been shown to converge empirically. In this
paper, we present a rigorous analysis to demonstrate its local and global
convergence, and provide theoretical support for its empirical results.