3 research outputs found
Variable Splitting Methods for Constrained State Estimation in Partially Observed Markov Processes
In this paper, we propose a class of efficient, accurate, and general methods
for solving state-estimation problems with equality and inequality constraints.
The methods are based on recent developments in variable splitting and
partially observed Markov processes. We first present the generalized framework
based on variable splitting, then develop efficient methods to solve the
state-estimation subproblems arising in the framework. The solutions to these
subproblems can be made efficient by leveraging the Markovian structure of the
model as is classically done in so-called Bayesian filtering and smoothing
methods. The numerical experiments demonstrate that our methods outperform
conventional optimization methods in computation cost as well as the estimation
performance.Comment: 3 figure
Bayesian ODE Solvers: The Maximum A Posteriori Estimate
It has recently been established that the numerical solution of ordinary
differential equations can be posed as a nonlinear Bayesian inference problem,
which can be approximately solved via Gaussian filtering and smoothing,
whenever a Gauss--Markov prior is used. In this paper the class of times
differentiable linear time invariant Gauss--Markov priors is considered. A
taxonomy of Gaussian estimators is established, with the maximum a posteriori
estimate at the top of the hierarchy, which can be computed with the iterated
extended Kalman smoother. The remaining three classes are termed explicit,
semi-implicit, and implicit, which are in similarity with the classical notions
corresponding to conditions on the vector field, under which the filter update
produces a local maximum a posteriori estimate. The maximum a posteriori
estimate corresponds to an optimal interpolant in the reproducing Hilbert space
associated with the prior, which in the present case is equivalent to a Sobolev
space of smoothness . Consequently, using methods from scattered data
approximation and nonlinear analysis in Sobolev spaces, it is shown that the
maximum a posteriori estimate converges to the true solution at a polynomial
rate in the fill-distance (maximum step size) subject to mild conditions on the
vector field. The methodology developed provides a novel and more natural
approach to study the convergence of these estimators than classical methods of
convergence analysis. The methods and theoretical results are demonstrated in
numerical examples