Coupling-Informed Transport Maps for Bayesian Filtering in Nonlinear Dynamical Systems

A likelihood-free transport filtering method is proposed based on the couplings between state and observation variables. By exploiting a block-triangular structure in the transport map, the analysis step of filtering is reformulated as the minimization of the maximum mean discrepancy (MMD) between the true joint measure and its transport-based approximation. To circumvent the non-convexity in the MMD optimization, we introduce a training-free transport filter method via gradient flows, which leads to an analytic computation for the transport map that implies the steepest descent direction of the MMD. The proposed approach accurately approximates non-Gaussian filtering posteriors and avoids particle collapse. We provide a convergence analysis for the expectation of the MMD between the approximated posterior and the truth posterior. Finally, we extend the method to high-dimensional problems through domain localization. Numerical examples demonstrate the superior performance of our approach over conventional filtering methods in nonlinear, non-Gaussian scenarios.

Ensemble Transport Filter via Optimized Maximum Mean Discrepancy

In this paper, we present a new ensemble-based filter method by reconstructing the analysis step of the particle filter through a transport map, which directly transports prior particles to posterior particles. The transport map is constructed through an optimization problem described by the Maximum Mean Discrepancy loss function, which matches the expectation information of the approximated posterior and reference posterior. The proposed method inherits the accurate estimation of the posterior distribution from particle filtering. To improve the robustness of Maximum Mean Discrepancy, a variance penalty term is used to guide the optimization. It prioritizes minimizing the discrepancy between the expectations of highly informative statistics for the approximated and reference posteriors. The penalty term significantly enhances the robustness of the proposed method and leads to a better approximation of the posterior. A few numerical examples are presented to illustrate the advantage of the proposed method over the ensemble Kalman filter.