An adaptive covariance parameterization technique for the ensemble Gaussian mixture filter

DOI10.1137/22m1544312MaRDI QIDQ6562378

Renato Zanetti, Andrey A. Popov

Publication date: 26 June 2024

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

zbMATH Keywords

data assimilationGaussian mixture modelparticle filteringexpectation maximization

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Gaussian processes (60G15) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Sequential estimation (62L12) Prediction theory (aspects of stochastic processes) (60G25)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A well-conditioned estimator for large-dimensional covariance matrices
• Bridging the ensemble Kalman filter and particle filters: The adaptive Gaussian mixture filter
• A family of embedded Runge-Kutta formulae
• Sub-sampled Newton methods
• Numerical approximation of the product of the square root of a matrix with a vector
• Recursive Bayesian estimation using Gaussian sums
• Rational Krylov approximation of matrix functions: Numerical methods and optimal pole selection
• Bridging the ensemble Kalman and particle filters
• Preconditioned Krylov Subspace Methods for Sampling Multivariate Gaussian Distributions
• Scale measures for bandwidth selection
• Variable Kernel Estimates of Multivariate Densities
• Numerical Optimization
• Probability Theory
• Neural Networks and Deep Learning
• Shrinkage Algorithms for MMSE Covariance Estimation
• Robust Shrinkage Estimation of High-Dimensional Covariance Matrices
• Shrinkage-to-Tapering Estimation of Large Covariance Matrices
• Deterministic Nonperiodic Flow
• Gaussian Mixture Nonlinear Filtering With Resampling for Mixand Narrowing
• A Multifidelity Ensemble Kalman Filter with Reduced Order Control Variates
• Accurately computing the log-sum-exp and softmax functions
• Probabilistic Forecasting and Bayesian Data Assimilation
• A Stochastic Approximation Method

This page was built for publication: An adaptive covariance parameterization technique for the ensemble Gaussian mixture filter