9 papers
Generative models for simulation based filtering: Formulations and Empirical Comparisons
Mohammad Al-Jarrah, Wei Deng, Bamdad Hosseini +1
This letter presents a unified formulation and a controlled numerical comparison of generative-model approaches to the nonlinear filtering problem. Under this formulation the analy…
Conditional Sampling via Wasserstein Autoencoders and Triangular Transport
Mohammad Al-Jarrah, Michele Martino, Marcus Yim +2
We present Conditional Wasserstein Autoencoders (CWAEs), a framework for conditional simulation that exploits low-dimensional structure in both the conditioned and the conditioning…
Error Analysis of Triangular Optimal Transport Maps for Filtering
Mohammad Al-Jarrah, Bamdad Hosseini, Niyizhen Jin +2
We present a systematic analysis of estimation errors for a class of optimal transport based algorithms for filtering and data assimilation. Along the way, we extend previous error…
Fast filtering of non-Gaussian models using Amortized Optimal Transport Maps
Mohammad Al-Jarrah, Bamdad Hosseini, Amirhossein Taghvaei
In this paper, we present the amortized optimal transport filter (A-OTF) designed to mitigate the computational burden associated with the real-time training of optimal transport f…
Flow matching for stochastic linear control systems
Yuhang Mei, Mohammad Al-Jarrah, Amirhossein Taghvaei +1
This paper addresses the problem of steering an initial probability distribution to a target probability distribution through a deterministic or stochastic linear control system. O…
Data-Driven Approximation of Stationary Nonlinear Filters with Optimal Transport Maps
Mohammad Al-Jarrah, Bamdad Hosseini, Amirhossein Taghvaei
The nonlinear filtering problem is concerned with finding the conditional probability distribution (posterior) of the state of a stochastic dynamical system, given a history of par…
Computational Optimal Transport and Filtering on Riemannian manifolds
Daniel Grange, Mohammad Al-Jarrah, Ricardo Baptista +4
In this paper we extend recent developments in computational optimal transport to the setting of Riemannian manifolds. In particular, we show how to learn optimal transport maps fr…
Nonlinear Filtering with Brenier Optimal Transport Maps
Mohammad Al-Jarrah, Niyizhen Jin, Bamdad Hosseini +1
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…
Optimal Transport Particle Filters
Mohammad Al-Jarrah, Bamdad Hosseini, Amirhossein Taghvaei
This paper is concerned with the theoretical and computational development of a new class of nonlinear filtering algorithms called the optimal transport particle filters (OTPF). Th…