AbstractSolving multiscale PDEs is difficult in high dimensional and/or convection dominant cases. The Lagrangian computation, interacting particle method, is shown to outperform solving PDEs directly (Eulerian). Examples include computing effective diffusivities, KPP front speed, and asymptotic transport properties in topological insulators. However the particle simulation takes long before co...
Abstract:In this talk, I will discuss in detail the convergence result of the Gaussian mixture particle filters, in which each particle in the estimation system is regarded as a Gaussian distributed random variable, rather than a simple particle as in the classical particle filters. The convergence rate of the particle system will be given. The relationship between the Gaussian mixture particl...