Data Assimilation in Optimal Transport Framework
Raktim Bhattacharya
TL;DR
This paper presents a novel perspective on Kalman filtering by deriving it within an optimal transport framework, offering new insights into data assimilation techniques.
Contribution
It introduces a new derivation of Kalman filtering using optimal transport theory, bridging two important areas in statistical estimation.
Findings
Kalman filter derived from optimal transport principles
Provides a new theoretical understanding of data assimilation
Potential for improved filtering methods
Abstract
In this paper we show derivation of Kalman filtering from an optimal transport perspective.
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Taxonomy
TopicsGeometry and complex manifolds · Global Financial Crisis and Policies