arXiv:2607.01012cs.LG2026-07

用生成模型改进粒子滤波,让高维非线性系统数据融合更准更快。

Generative Model Proposal based Particle Filtering for Data Assimilation

  • 用生成模型学习最优粒子传播建议,减少权重方差。
  • 在非线性、高维系统上误差显著低于传统方法和现有生成模型。
  • 适合需要长期准确状态估计的气象、海洋等科学建模场景。

数据同化通过序列观测建模系统状态演化,广泛应用于科学领域。滤波目标是根据已有观测计算当前状态的后验分布。经典方法常假设线性高斯系统,但在许多场景下不准确。粒子滤波(PF)理论上可避免这些假设,但在高维下易退化。近年生成方法学习条件状态转移,但缺乏贝叶斯更新,长期会累积误差。本文提出流提议粒子滤波(FPPF),学习基于观测的条件生成模型作为提议分布,逼近方差最小化的最优提议,使粒子在加权前即聚焦高似然区域,降低权重方差并延缓退化。由于提议分布支持精确似然评估,FPPF能计算准确重要性权重并保留贝叶斯更新步骤。进一步引入局域化策略处理高维问题。在多种动力系统上的实验表明,FPPF在非线性、非高斯及高维情形下优于统计基线和其他生成方法。

原文摘要 · Abstract (English)

Data assimilation models state dynamics conditioned on sequential observations, and has wide-ranging scientific applications. In the filtering setting, the goal is to model the posterior over the current state given all observations so far. Classical solutions typically make simplifying distributional or functional assumptions, e.g., linear-Gaussian systems, which can be inaccurate in many scenarios. In principle, particle filters (PFs) remove these assumptions, yet often collapse in high dimensions. Recent generative approaches learn conditional state transitions, but without principled Bayesian updates they do not recover the correct filtering posterior and can accumulate error over long horizons. In this work, we introduce Flow Proposal Particle Filters (FPPF), which learn a conditional generative model based proposal approximating the variance-minimizing optimal proposal for particle propagation. Conditioning on observations steers particles toward high-likelihood regions before weighting, reducing weight variance and delaying degeneracy. Since our proposal admits tractable likelihood evaluation, FPPF computes accurate importance weights and retains a Bayesian update step. We further extend FPPF to high-dimensional problems through localization strategies, adressing another standard PF failure mode. Extensive experiments on a variety of dynamical systems show that FPPF outperforms statistical baselines and other generative methods in non-linear, non-Gaussian, and high-dimensional regimes.

数据同化粒子滤波生成模型

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