An application of the splitting-up method for the computation of a neural network representation for the solution for the filtering equations
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Abstract (arXiv)
The filtering equations govern the evolution of the conditional distribution of a signal process given partial, and possibly noisy, observations arriving sequentially in time. Their numerical approximation plays a central role in many real-life applications, including numerical weather prediction, finance and engineering. One of the classical approaches to approximate the solution of the filtering equations is to use a PDE inspired method, called the splitting-up method, initiated by Gyongy, Krylov, LeGland, among other contributors. This method, and other PDE based approaches, have particular applicability for solving low-dimensional problems. In this work we combine this method with a neural network representation. The new methodology is used to produce an approximation of the unnormalised conditional distribution of the signal process. We further develop a recursive normalisation procedure to recover the normalised conditional distribution of the signal process. The new scheme can be iterated over multiple time steps whilst keeping its asymptotic unbiasedness property intact. We test the neural network approximations with numerical approximation results for the Kalman and Benes filter.
Key facts. Cited by 5 papers in the map (data through 7 Oct 2026). Builds on 10 of its 39 references that are in the map. First posted on arXiv 10 Jan 2022.
Builds on
10 of 39 references.
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Citing papers per year: 2022: 3; 2023: 0; 2024: 1; 2025: 1.
5 papers.
- 2022An energy-based deep splitting method for the nonlinear filtering problemcited by 7
- 2022Deep Learning for the Benes Filtercited by 4
- 2024A convergent scheme for the Bayesian filtering problem based on the Fokker--Planck equation and deep splittingcited by 2
- 2025Nonlinear filtering based on density approximation and deep BSDE predictioncited by 1
- 2022Learning the conditional law: signatures and conditional GANs in filtering and prediction of diffusion processescited by 0
- 2025Nonlinear filtering based on density approximation and deep BSDE prediction14 Aug 2025
- 2024A convergent scheme for the Bayesian filtering problem based on the Fokker--Planck equation and deep splitting22 Sep 2024
- 2022Learning the conditional law: signatures and conditional GANs in filtering and prediction of diffusion processes1 Apr 2022
- 2022An energy-based deep splitting method for the nonlinear filtering problem31 Mar 2022
- 2022Deep Learning for the Benes Filter9 Mar 2022