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.
Richard M , Real Analysis and Probability, Chapman and Hall/CRC, 2002
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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.