{"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/the-rank-reduced-kalman-filter-approximate-1","title":"The Rank-Reduced Kalman Filter: Approximate Dynamical-Low-Rank Filtering In High Dimensions","arxiv_id":"2306.07774","date":"2023-06-13","proceeding":"NeurIPS 2023 11","authors":["Jonathan Schmidt","Philipp Hennig","Jörg Nick","Filip Tronarp"],"abstract":"Inference and simulation in the context of high-dimensional dynamical systems remain computationally challenging problems. Some form of dimensionality reduction is required to make the problem tractable in general. In this paper, we propose a novel approximate Gaussian filtering and smoothing method which propagates low-rank approximations of the covariance matrices. This is accomplished by projecting the Lyapunov equations associated with the prediction step to a manifold of low-rank matrices, which are then solved by a recently developed, numerically stable, dynamical low-rank integrator. Meanwhile, the update steps are made tractable by noting that the covariance update only transforms the column space of the covariance matrix, which is low-rank by construction. The algorithm differentiates itself from existing ensemble-based approaches in that the low-rank approximations of the covariance matrices are deterministic, rather than stochastic. Crucially, this enables the method to reproduce the exact Kalman filter as the low-rank dimension approaches the true dimensionality of the problem. Our method reduces computational complexity from cubic (for the Kalman filter) to \\emph{quadratic} in the state-space size in the worst-case, and can achieve \\emph{linear} complexity if the state-space model satisfies certain criteria. Through a set of experiments in classical data-assimilation and spatio-temporal regression, we show that the proposed method consistently outperforms the ensemble-based methods in terms of error in the mean and covariance with respect to the exact Kalman filter. This comes at no additional cost in terms of asymptotic computational complexity.","url_abs":"https://arxiv.org/abs/2306.07774v3","url_pdf":"https://arxiv.org/pdf/2306.07774v3.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":"the-rank-reduced-kalman-filter-approximate-1","repo_url":"https://github.com/schmidtjonathan/rrkf.jl","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":1,"framework":"none","reach":null},{"paper_slug":"the-rank-reduced-kalman-filter-approximate-1","repo_url":"https://github.com/schmidtjonathan/rrkf_experiments","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":1,"framework":"none","reach":null}],"tasks":[{"task_slug":"dimensionality-reduction","task_name":"Dimensionality Reduction"}],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"syntology_url":null,"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}