Sampling Conditioned Diffusions
نویسندگان
چکیده
For many practical problems it is useful to be able to sample conditioned diffusions on a computer (e.g. in filtering/smoothing to sample from the conditioned distribution of the unknown signal given the known observations). We present a recently developed, SPDE-based method to tackle this problem. The method is an infinite dimensional generalisation of the Langevin sampling technique.
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تاریخ انتشار 2007