PhiMac Seminar - John Armstrong - Projecting SDEs on Submanifolds and the Optimal Gaussian Filter
- Calendar
- Mathematics & Statistics
- Date
- 03.24.2023 11:45 am - 12:45 pm
Description
Speaker: John Armstrong, King's Colleg
Title: Projecting SDEs on Submanifolds and the OptimalGaussian Filter
Abstract: We will ask what it means to optimallyapproximate an SDE in a space with an SDE on a submanifold. This is motivatedby attempts to approximate the solution to the non-linear filtering problemusing non-linear families of distributions such as the family of Gaussiandistributions. One approach that has been used in the past is to project thevector coefficients of the SDE written in Stratonovich form, but while this mayappear intuitive we will see that it is sub-optimal and will describealternative projection methods. As an application we will see how to write downoptimal Gaussian approximations to the non-linear filtering problem.
Location: Hamilton Hall, Room 410
Zoom: https://mcmaster.zoom.us/j/92233741374?pwd=ME43MlFqODA5eDJJZjdsM1ltYzdqUT09
Title: Projecting SDEs on Submanifolds and the OptimalGaussian Filter
Abstract: We will ask what it means to optimallyapproximate an SDE in a space with an SDE on a submanifold. This is motivatedby attempts to approximate the solution to the non-linear filtering problemusing non-linear families of distributions such as the family of Gaussiandistributions. One approach that has been used in the past is to project thevector coefficients of the SDE written in Stratonovich form, but while this mayappear intuitive we will see that it is sub-optimal and will describealternative projection methods. As an application we will see how to write downoptimal Gaussian approximations to the non-linear filtering problem.
Location: Hamilton Hall, Room 410
Zoom: https://mcmaster.zoom.us/j/92233741374?pwd=ME43MlFqODA5eDJJZjdsM1ltYzdqUT09
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