[Forum SIS] Seminar

[Simone Padoan]

Dear All,

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We are glad to announce the following talk
Thursday, May 30, 2013, 12.30, Room 3-E4-SR03
Bocconi University, via Roentgen 1, Milan.
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by Hans R. Kuensch, ETH Zurich Switzerland.

Title:
"Bridging the particle and ensemble Kalman filters"

Abstract:
In many applications of Monte Carlo nonlinear filtering, the propagation step is computationally
expensive, and hence, the sample size is limited. With small sample sizes, the update
step becomes crucial. Particle filtering suffers from the well-known problem of sample degeneracy. 
Ensemble Kalman filtering avoids this, at the expense of treating non-Gaussian features of
the forecast distribution incorrectly. Here we introduce a procedure which makes a continuous
transition indexed by  a parameter w in  [0, 1] between the ensemble and the particle filter update. 
We propose automatic choices of the parameter w such that the update stays as close as possible
to the particle filter update subject to avoiding degeneracy. In various examples, we show that this 
procedure leads to updates which are able to handle non-Gaussian features of the prediction sample 
even in high-dimensional situations.

Joint work with Marco Frei.


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Dr. Simone Padoan, PhD.
Assistant Professor

Department of Decision Sciences
Bocconi University of Milan
via Roentgen, 1 20136 Milano - Italy
tel. +39 02 5836 5368
Email: simone.padoan a unibocconi.it
Webpage: http://faculty.unibocconi.it/simonepadoan
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