Nonlinear filtering based on density approximation and deep BSDE prediction

Bågmark, Kasper, Andersson, Adam, Larsson, Stig

arXiv.org Machine Learning 

A novel approximate Bayesian filter based on backward stochastic differential equations is introduced. It uses a nonlinear Feynman--Kac representation of the filtering problem and the approximation of an unnormalized filtering density using the well-known deep BSDE method and neural networks. The method is trained offline, which means that it can be applied online with new observations. A mixed a priori-a posteriori error bound is proved under an elliptic condition. The theoretical convergence rate is confirmed in two numerical examples.