Title	Optimal transport and its use in data assimilation and sequential Bayesian inference
Creator	Reich, Sebastian
Publisher	Banff International Research Station for Mathematical Innovation and Discovery
Date Issued	2017-05-03T09:03
Description	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.
Extent	31 minutes
Subject	Mathematics; Calculus of variations and optimal control; optimization; Statistics; Scientific computing
Type	Moving Image
File Format	video/mp4
Language	eng
Notes	Author affiliation: Universität Potsdam
Series	BIRS Workshop Lecture Videos (Oaxaca de Juárez (Mexico))
Date Available	2017-10-31
Provider	Vancouver : University of British Columbia Library
Rights	Attribution-NonCommercial-NoDerivatives 4.0 International
DOI	10.14288/1.0357407
URI	http://hdl.handle.net/2429/63489
Affiliation	Non UBC
Peer Review Status	Unreviewed
Scholarly Level	Faculty
Rights URI	http://creativecommons.org/licenses/by-nc-nd/4.0/
Aggregated Source Repository	DSpace

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