2022/04/01 by Fabian Germ, Germ, Fabian, Marc Sabate‐Vidales +1
Computer Science · Physics and Astronomy · #FOS: Computer and information sciences #FOS: Mathematics #Generative Adversarial Networks and Image Synthesis #Image and Signal Denoising Methods #Machine Learning (cs.LG) #Machine Learning (stat.ML) #Model Reduction and Neural Networks #Optimization and Control (math.OC)
paper · pdf · doi:10.48550/arxiv.2204.00611
openalex publication_date 2022/04/01 · openalex created_date 2022/05/05 · openalex updated_date 2026/07/28
We consider the filtering and prediction problem for a diffusion process. The signal and observation are modeled by stochastic differential equations (SDEs) driven by correlated Wiener processes. In classical estimation theory, measure-valued stochastic partial differential equations (SPDEs) are derived for the filtering and prediction measures. These equations can be hard to solve numerically. We provide an approximation algorithm using conditional generative adversarial networks (GANs) in combination with signatures, an object from rough path theory. The signature of a sufficiently smooth path determines the path completely. As a result, in some cases, GANs based on signatures have been shown to efficiently approximate the law of a stochastic process. For our algorithm we extend this method to sample from the conditional law, given noisy, partial observation. Our generator is constructed using neural differential equations (NDEs), relying on their universal approximator property. We show well-posedness in providing a rigorous mathematical framework. Numerical results show the efficiency of our algorithm.