The SMG-Yau-Yau Filter and Lossless Data Assimilation: Resolving Infinite Lie Algebras via Statistical Fiber Theory

Bing Cheng, Yi-Shuai Niu, Howell Tong +1

Classical continuous-time non-linear filtering fails in generic non-linear state spaces due to an infinite Lie algebraic derivative explosion ($\dim (\mathcal{E})=\infty$), leadin…