FBOVI sequentially approximates the joint state-parameter posterior by a parameter marginal times a conditional Gaussian state distribution, with error bounds and demonstrations on pendulum, Lorenz-96, and a 51D convection-diffusion system.
Kitagawa, A self-organizing state-space model, J
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Sequential Bayesian parameter-state estimation in dynamical systems with noisy and incomplete observations via a variational framework
FBOVI sequentially approximates the joint state-parameter posterior by a parameter marginal times a conditional Gaussian state distribution, with error bounds and demonstrations on pendulum, Lorenz-96, and a 51D convection-diffusion system.