Variational Gaussian approximation of the Kushner optimal filter

DOI10.1007/978-3-031-38271-0_39arXiv2310.01859OpenAlexW4385435099MaRDI QIDQ6138144

Francis Bach, Marc Lambert, Silvère Bonnabel

Publication date: 16 January 2024

Published in: Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2310.01859

zbMATH Keywords

filteringinformation geometryoptimal transportvariational inference

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Cites Work

• Approximate nonlinear filtering by projection on exponential manifolds of densities
• The recursive variational Gaussian approximation (R-VGA)
• The Variational Formulation of the Fokker--Planck Equation
• An Extension of Kakutani's Theorem on Infinite Product Measures to the Tensor Product of Semifinite w ∗ -Algebras
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