Keisuke Fukuda

Deep Bayesian Filter for Bayes-Faithful Data Assimilation

Data assimilation for nonlinear state space models (SSMs) is inherently challenging due to non-Gaussian posteriors. We propose Deep Bayesian Filtering (DBF), a novel approach to data assimilation in nonlinear SSMs. DBF introduces latent variables $h_t$ in addition to physical variables $z_t$, ensuri…