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Activities
A Conditional Score-based Filter for Nonlinear Filtering Problems
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Reporter:
史作强 教授(清华大学丘成桐数学科学中心)
Inviter:
龚伟 研究员
Subject:
A Conditional Score-based Filter for Nonlinear Filtering Problems
Time and place:
10月22日(周三)10:00-11:00,思源楼515教室
Abstract:

In many engineering and applied science domains, high-dimensional nonlinear filtering is still a challenging problem. Recent advances in score-based diffusion models offer a promising alternative for posterior sampling but require repeated retraining to track evolving priors, which is impractical in high dimensions. In this talk, we propose the Conditional Score-based Filter (CSF), a novel algorithm that leverages a set-transformer encoder and a conditional diffusion model to achieve efficient and accurate posterior sampling without retraining. By decoupling prior modeling and posterior sampling into offline and online stages, CSF enables scalable score-based filtering across diverse nonlinear systems. Extensive experiments on benchmark problems show that CSF achieves superior accuracy, robustness, and efficiency across diverse nonlinear filtering scenarios.