BIRS Workshop Lecture Videos

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BIRS Workshop Lecture Videos

Optimal transport and its use in data assimilation and sequential Bayesian inference Reich, Sebastian


I will review the use of optimal coupling argument in the design of sequential Monte Carlo methods for data assimilation and sequential Bayesian inference. I will also address their efficient implementation using the Sinkhorn approximation and second-order corrections. If time permits it, I will also review the mathematical structure of continuous-time filtering problems within a generalised Kalman formulation and its link to continuous-time optimal transport.

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