6,290 research outputs found
Langevin and Hamiltonian based Sequential MCMC for Efficient Bayesian Filtering in High-dimensional Spaces
Nonlinear non-Gaussian state-space models arise in numerous applications in
statistics and signal processing. In this context, one of the most successful
and popular approximation techniques is the Sequential Monte Carlo (SMC)
algorithm, also known as particle filtering. Nevertheless, this method tends to
be inefficient when applied to high dimensional problems. In this paper, we
focus on another class of sequential inference methods, namely the Sequential
Markov Chain Monte Carlo (SMCMC) techniques, which represent a promising
alternative to SMC methods. After providing a unifying framework for the class
of SMCMC approaches, we propose novel efficient strategies based on the
principle of Langevin diffusion and Hamiltonian dynamics in order to cope with
the increasing number of high-dimensional applications. Simulation results show
that the proposed algorithms achieve significantly better performance compared
to existing algorithms
Deterministic Mean-field Ensemble Kalman Filtering
The proof of convergence of the standard ensemble Kalman filter (EnKF) from
Legland etal. (2011) is extended to non-Gaussian state space models. A
density-based deterministic approximation of the mean-field limit EnKF
(DMFEnKF) is proposed, consisting of a PDE solver and a quadrature rule. Given
a certain minimal order of convergence between the two, this extends
to the deterministic filter approximation, which is therefore asymptotically
superior to standard EnKF when the dimension . The fidelity of
approximation of the true distribution is also established using an extension
of total variation metric to random measures. This is limited by a Gaussian
bias term arising from non-linearity/non-Gaussianity of the model, which exists
for both DMFEnKF and standard EnKF. Numerical results support and extend the
theory
Wind Power Forecasting Methods Based on Deep Learning: A Survey
Accurate wind power forecasting in wind farm can effectively reduce the enormous impact on grid operation safety when high permeability intermittent power supply is connected to the power grid. Aiming to provide reference strategies for relevant researchers as well as practical applications, this paper attempts to provide the literature investigation and methods analysis of deep learning, enforcement learning and transfer learning in wind speed and wind power forecasting modeling. Usually, wind speed and wind power forecasting around a wind farm requires the calculation of the next moment of the definite state, which is usually achieved based on the state of the atmosphere that encompasses nearby atmospheric pressure, temperature, roughness, and obstacles. As an effective method of high-dimensional feature extraction, deep neural network can theoretically deal with arbitrary nonlinear transformation through proper structural design, such as adding noise to outputs, evolutionary learning used to optimize hidden layer weights, optimize the objective function so as to save information that can improve the output accuracy while filter out the irrelevant or less affected information for forecasting. The establishment of high-precision wind speed and wind power forecasting models is always a challenge due to the randomness, instantaneity and seasonal characteristics
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