Variational Gaussian filtering via Wasserstein gradient flows

03/11/2023

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by   Adrien Corenflos, et al.

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We present a novel approach to approximate Gaussian and mixture-of-Gaussians filtering. Our method relies on a variational approximation via a gradient-flow representation. The gradient flow is derived from a Kullback–Leibler discrepancy minimization on the space of probability distributions equipped with the Wasserstein metric. We outline the general method and show its competitiveness in posterior representation and parameter estimation on two state-space models for which Gaussian approximations typically fail: systems with multiplicative noise and multi-modal state distributions.