Deep FPF: Gain function approximation in high-dimensional setting

S. Yagiz Olmez, Amirhossein Taghvaei, Prashant G. Mehta

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

In this paper, we present a novel approach to approximate the gain function of the feedback particle filter (FPF). The exact gain function is the solution of a Poisson equation involving a probability-weighted Laplacian. The numerical problem is to approximate the exact gain function using only finitely many particles sampled from the probability distribution.Inspired by the recent success of the deep learning methods, we represent the gain function as a gradient of the output of a neural network. Thereupon considering a certain variational formulation of the Poisson equation, an optimization problem is posed for learning the weights of the neural network. A stochastic gradient algorithm is described for this purpose.The proposed approach has two significant properties/advantages: (i) The stochastic optimization algorithm allows one to process, in parallel, only a batch of samples (particles) ensuring good scaling properties with the number of particles; (ii) The remarkable representation power of neural networks means that the algorithm is potentially applicable and useful to solve high-dimensional problems. We numerically establish these two properties and provide extensive comparison to the existing approaches.

Original languageEnglish (US)
Title of host publication2020 59th IEEE Conference on Decision and Control, CDC 2020
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages4790-4795
Number of pages6
ISBN (Electronic)9781728174471
DOIs
StatePublished - Dec 14 2020
Event59th IEEE Conference on Decision and Control, CDC 2020 - Virtual, Jeju Island, Korea, Republic of
Duration: Dec 14 2020Dec 18 2020

Publication series

NameProceedings of the IEEE Conference on Decision and Control
Volume2020-December
ISSN (Print)0743-1546

Conference

Conference59th IEEE Conference on Decision and Control, CDC 2020
CountryKorea, Republic of
CityVirtual, Jeju Island
Period12/14/2012/18/20

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Modeling and Simulation
  • Control and Optimization

Fingerprint Dive into the research topics of 'Deep FPF: Gain function approximation in high-dimensional setting'. Together they form a unique fingerprint.

Cite this