Can local particle filters beat the curse of dimensionality?

DOI10.1214/14-aap1061zbMath1325.60058arXiv1301.6585OpenAlexW1822984620MaRDI QIDQ81243

Ramon Van Handel, Patrick Rebeschini, Patrick Rebeschini, Ramon van Handel

Publication date: 1 October 2015

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.6585

zbMATH Keywords

curse of dimensionality data assimilation decay of correlations interacting Markov chains filter stability local particle filters

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Monte Carlo methods (65C05) Signal detection and filtering (aspects of stochastic processes) (60G35) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Probability in computer science (algorithm analysis, random structures, phase transitions, etc.) (68Q87)

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Cites Work