{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/computational-doob-s-h-transforms-for-online","title":"Computational Doob's h-transforms for Online Filtering of Discretely Observed Diffusions","arxiv_id":"2206.03369","date":"2022-06-07","proceeding":null,"authors":["Nicolas Chopin","Andras Fulop","Jeremy Heng","Alexandre H. Thiery"],"abstract":"This paper is concerned with online filtering of discretely observed nonlinear diffusion processes. Our approach is based on the fully adapted auxiliary particle filter, which involves Doob's $h$-transforms that are typically intractable. We propose a computational framework to approximate these $h$-transforms by solving the underlying backward Kolmogorov equations using nonlinear Feynman-Kac formulas and neural networks. The methodology allows one to train a locally optimal particle filter prior to the data-assimilation procedure. Numerical experiments illustrate that the proposed approach can be orders of magnitude more efficient than state-of-the-art particle filters in the regime of highly informative observations, when the observations are extreme under the model, or if the state dimension is large.","url_abs":"https://arxiv.org/abs/2206.03369v2","url_pdf":"https://arxiv.org/pdf/2206.03369v2.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"computational-doob-s-h-transforms-for-online","repo_url":"https://github.com/jeremyhengjm/CompDoobTransform","is_official":1,"mentioned_in_paper":0,"mentioned_in_github":0,"framework":"pytorch","reach":null}],"tasks":[],"methods":[{"method_slug":"diffusion","method_name":"Diffusion"}],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}