Multidimensional Projection Filters via Automatic Differentiation and Sparse-Grid Integration
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The projection filter is a method for approximating the dynamics of conditional probability densities of optimal filtering problems. In projection filters, the Kushner–Stratonovich stochastic partial differential equation governing the evolution of the optimal filtering density is projected to a manifold of parametric densities, yielding a finite-dimensional stochastic differential equation. Despite its capability of capturing complex probability densities, the implementations of projection filters are (so far) restricted to either the Gaussian family or unidimensional filtering problems. This paper considers a combination of numerical integration and automatic differentiation to construct projection filters for more general problems. We give a detailed exposition about this combination for the manifold of the exponential family. We show via numerical experiments that this approach can maintain a fairly accurate approximation of the filtering density compared to the finite-difference based Zakai filter and a particle filter while requiring a relatively low number of quadrature points.
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