University of Cambridge > Talks.cam > Machine Learning @ CUED > Particle filters and curse of dimensionality

  Browse A-Z

Log in

University Account External (via Google)

🔐 Log In

Information on

Subscribing to talksdetails Finding a talkdetails Adding a talkdetails Disseminating talksdetails Help and Documentationdetails

ℹ️ Information

Particle filters and curse of dimensionality

Download to your calendar using vCal

If you have a question about this talk, please contact Zoubin Ghahramani .

Note: TALK via Skype!

A problem that arises in many applications is to compute the conditional distributions of stochastic models given observed data. While exact computations are rarely possible, particle filtering algorithms have proved to be very useful for approximating such conditional distributions. Unfortunately, the approximation error of particle filters grows exponentially with dimension, a phenomenon known as curse of dimensionality. This fact has rendered particle filters of limited use in complex data assimilation problems that arise, for example, in weather forecasting or multi-target tracking. In this talk I will show that it is possible to develop “local” particle filtering algorithms whose approximation error is dimension-free. By exploiting conditional decay of correlations properties of high-dimensional models, we prove for the simplest possible algorithm of this type an error bound that is uniform both in time and in the model dimension. (Joint work with R. van Handel)

This talk is part of the Machine Learning @ CUED series.

This talk is included in these lists:

Note that ex-directory lists are not shown.

Other lists

in person & via zoom Sociology Tea Room, Old Cavendish Laboratory, Free School Lane Zoom Webinar ask for details vr314@medschl.cam.ac.uk

Other talks

Talk TBC Group Work Group Work Sera Markoff Inaugural Lecture for the Plumian Professorship in Astronomy and Experimental Philosophy - 'Staring into the heart of darkness: from theory to the direct imaging of black holes' Polar Oceans Seminar Talk Title to be confirmed
 

© 2006-2025 Talks.cam, University of Cambridge. Contact Us | Help and Documentation | Privacy and Publicity