Classical and Modern Results in Nonlinear Filtering and Applications: Event Information

Date: 28th November 2018

Organizers: Thomas Cass and Dan Crisan

Location: All talks to be held at the EPSRC Centres for Doctoral Training Suite at the South Kensington Campus, Imperial College London

Abstract: This is a one-day workshop that aims to bring together researchers from two sister areas Data Assimilation and Nonlinear Filtering. The morning session will be devoted to will be on applications of filtering and methodology (in particular data assimilation). The afternoon theme will be on nonlinear filtering theoretical results. The workshop will be an opportunity to celebrate Martin Clark’s 80th birthday.

See Full programme here: Classical and Modern Results in Nonlinear Filtering and Applications Workshop Programme.

Workshop Schedule: 

9:30am Coffee and registration

9:50am Welcoming remarks

10:00am David Mayne – The life and work of Martin Clark

10:20am Wei Pan: Sequential Monte Carlo for Stochastic Advection by Lie Transport GFD Models

10:50pm Coffee break

11:00am Sebastian Reich: Data Assimilation: Kalman’s legacy and beyond

11:45am Etienne Memin: Stochastic transport to track closed curves through image data

12:30pm Lunch

2:00 pm Terry Lyons: A new Lévy construction for Brownian motion and an application to the CIR model

2:45pm Mark Davis: How can we tell whether probabilistic forecasts are correct?

3:30pm Coffee break

4:00pm  Richard Vinter: Robust Filtering Algorithms for Tracking Problems with Measurement Process Nonlinearities

4:45pm Nigel Newton: Nonlinear Filtering and Information Geometry

Please register for the event here

The workshop is partially funded by the EPSRC grant EP/N023781/1 entitled ”Variational principles for stochastic parameterizations in geophysical fluid dynamics” (PI Darryl Holm) and the EPSRC Centre for Doctoral Training in the Mathematics of Planet Earth (PI Dan Crisan).