Nonlinear Filtering with Brenier Optimal Transport Maps

no code implementations • 21 Oct 2023 • Mohammad Al-jarrah, Niyizhen Jin, Bamdad Hosseini, Amirhossein Taghvaei

This paper is concerned with the problem of nonlinear filtering, i. e., computing the conditional distribution of the state of a stochastic dynamical system given a history of noisy partial observations.

Stochastic Optimization