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Jul, 2020
一种用于贝叶斯ODE滤波器的傅里叶状态空间模型
A Fourier State Space Model for Bayesian ODE Filters
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Hans Kersting, Maren Mahsereci
TL;DR
本论文探讨了高斯ODE滤波的Fourier状态空间模型与Taylor-Brownian运动的混合模型，证明了此混合模型可以成为一种廉价且有效的预测工具。
Abstract
gaussian ode filtering
is a probabilistic numerical method to solve ordinary differential equations (ODEs). It computes a
bayesian posterior
over the solution from evaluations of the vector field defining the ODE
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