{"title":"Multilevel Particle Filters for a Class of Partially Observed Piecewise Deterministic Markov Processes","authors":"Ajay Jasra, Kengo Kamatani, Mohamed Maama","doi":"10.1137/23m1600505","DOIUrl":null,"url":null,"abstract":"SIAM Journal on Scientific Computing, Volume 46, Issue 4, Page A2475-A2502, August 2024. <br/> Abstract. In this paper we consider the filtering of a class of partially observed piecewise deterministic Markov processes. In particular, we assume that an ordinary differential equation (ODE) drives the deterministic element and can only be solved numerically via a time discretization. We develop, based upon the approach in Lemaire, Thieullen, and Thomas [Adv. Appl. Probab., 52 (2020), pp. 138–172], a new particle and multilevel particle filter (MLPF) in order to approximate the filter associated to the discretized ODE. We provide a bound on the mean square error associated to the MLPF which provides guidance on setting the simulation parameters of the algorithm and implies that significant computational gains can be obtained versus using a particle filter. Our theoretical claims are confirmed in several numerical examples.","PeriodicalId":49526,"journal":{"name":"SIAM Journal on Scientific Computing","volume":"71 1","pages":""},"PeriodicalIF":3.0000,"publicationDate":"2024-07-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"SIAM Journal on Scientific Computing","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1137/23m1600505","RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"MATHEMATICS, APPLIED","Score":null,"Total":0}
引用次数: 0
Abstract
SIAM Journal on Scientific Computing, Volume 46, Issue 4, Page A2475-A2502, August 2024. Abstract. In this paper we consider the filtering of a class of partially observed piecewise deterministic Markov processes. In particular, we assume that an ordinary differential equation (ODE) drives the deterministic element and can only be solved numerically via a time discretization. We develop, based upon the approach in Lemaire, Thieullen, and Thomas [Adv. Appl. Probab., 52 (2020), pp. 138–172], a new particle and multilevel particle filter (MLPF) in order to approximate the filter associated to the discretized ODE. We provide a bound on the mean square error associated to the MLPF which provides guidance on setting the simulation parameters of the algorithm and implies that significant computational gains can be obtained versus using a particle filter. Our theoretical claims are confirmed in several numerical examples.
期刊介绍：
The purpose of SIAM Journal on Scientific Computing (SISC) is to advance computational methods for solving scientific and engineering problems.
SISC papers are classified into three categories:
1. Methods and Algorithms for Scientific Computing: Papers in this category may include theoretical analysis, provided that the relevance to applications in science and engineering is demonstrated. They should contain meaningful computational results and theoretical results or strong heuristics supporting the performance of new algorithms.
2. Computational Methods in Science and Engineering: Papers in this section will typically describe novel methodologies for solving a specific problem in computational science or engineering. They should contain enough information about the application to orient other computational scientists but should omit details of interest mainly to the applications specialist.
3. Software and High-Performance Computing: Papers in this category should concern the novel design and development of computational methods and high-quality software, parallel algorithms, high-performance computing issues, new architectures, data analysis, or visualization. The primary focus should be on computational methods that have potentially large impact for an important class of scientific or engineering problems.
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