An ensemble score filter for tracking high-dimensional nonlinear dynamical systems

DOI10.1016/j.cma.2024.117447MaRDI QIDQ6643608

Zezhong Zhang, Guannan Zhang, Feng Bao

Publication date: 26 November 2024

Published in: Computer Methods in Applied Mechanics and Engineering (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationsnonlinear filteringcurse of dimensionalitydata assimilationscore-based diffusion models

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generation, random and stochastic difference and differential equations (37H10) Numerical solutions to stochastic differential and integral equations (65C30)

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