An Optimal Transport Formulation of the Ensemble Kalman Filter

DOI10.1109/TAC.2020.3015410zbMath1467.93316arXiv1910.02338OpenAlexW3048670764MaRDI QIDQ5002118

Amirhossein Taghvaei, Prashant G. Mehta

Publication date: 26 July 2021

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1910.02338

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Mean field games and control (49N80)

Related Items (6)

A Unification of Weighted and Unweighted Particle Filters ⋮ A perturbation analysis of stochastic matrix Riccati diffusions ⋮ On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering ⋮ Coupled quantum harmonic oscillators and Feynman-Kac path integrals for linear diffusive particles ⋮ On one-dimensional Riccati diffusions ⋮ Feedback particle filter for collective inference

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