281 citations · 865 across the 46 of their papers we have counts for
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stat.CO2017
Particle Filtering for Stochastic Navier-Stokes Signal Observed with Linear Additive Noise
Francesc Pons Llopis, Nikolas Kantas, Alexandros Beskos +1
We consider a non-linear filtering problem, whereby the signal obeys the stochastic Navier-Stokes equations and is observed through a linear mapping with additive noise. The setup…
stat.CO2017★ 2 cited
Multilevel Sequential Monte Carlo with Dimension-Independent Likelihood-Informed Proposals
Alexandros Beskos, Ajay Jasra, Kody Law +2
In this article we develop a new sequential Monte Carlo (SMC) method for multilevel (ML) Monte Carlo estimation. In particular, the method can be used to estimate expectations with…