Uniform estimates for particle filters

18.01.2019, 10:15-11:45  –  Haus 9, Raum 0.14
SFB-Seminar

Pierre del Moral (INRIA Bordeaux)

This talk is concerned with the long time behavior of particle filters and Ensemble Kalman filters. These filters can be interpreted as mean field type particle interpretation of the filtering equation and the Kalman recursion. We present a series of old and new results on the stability properties of these filters. We initiate a comparison between these particle samplers and discuss some open research questions.

Invited by Wilhelm Stannat.