Particle-MALA and Particle-mGRAD: Gradient-based MCMC methods for high-dimensional state-space...

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A convergent scheme for the Bayesian filtering problem based on the Fokker--Planck equation and deep splitting

K Bågmark, A Andersson, S Larsson… - arxiv preprint arxiv …, 2024 - arxiv.org
A numerical scheme for approximating the nonlinear filtering density is introduced and its
convergence rate is established, theoretically under a parabolic H\" ormander condition, and …
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