A convergent deep splitting scheme approximates the nonlinear filtering density via Fokker-Planck prediction and exact Bayesian update, with sampling to address high dimensions.
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math.NA 2years
2024 2verdicts
UNVERDICTED 2representative citing papers
Presents the first high-precision numerical solver for the free-space fractional Fokker-Planck equation with Dirac-delta initial conditions using integral representations and fast algorithms.
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A convergent scheme for the Bayesian filtering problem based on the Fokker--Planck equation and deep splitting
A convergent deep splitting scheme approximates the nonlinear filtering density via Fokker-Planck prediction and exact Bayesian update, with sampling to address high dimensions.
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A Fast and Accurate Solver for the Fractional Fokker-Planck Equation with Dirac-Delta Initial Conditions
Presents the first high-precision numerical solver for the free-space fractional Fokker-Planck equation with Dirac-delta initial conditions using integral representations and fast algorithms.