An ensemble transport filter is constructed by optimizing a maximum mean discrepancy objective with variance penalty to transport prior particles to posterior particles, extending particle filtering to high dimensions.
Evensen , The ensemble kalman filter for combined state and parameter estimation , IEEE Control Systems, 29 (2009), pp
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Ensemble Transport Filter via Optimized Maximum Mean Discrepancy
An ensemble transport filter is constructed by optimizing a maximum mean discrepancy objective with variance penalty to transport prior particles to posterior particles, extending particle filtering to high dimensions.