1. Data Assimilation Methods for Online State Estimation

Introduction / Kalman Filter / Ensemble Kalman Filter / SIR filter / Auxiliary Particle Filter / Implicit Particle Filter / Experiment / Presentation

Implicit particle filter for double well potential

Implicit particle filter for double well potential

2. Project: Drift Homotopy Implicit Particle Filter

Application: Double-Well Potential Model

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Application: Lorenz 63 model

Drift Homotopy Implicit particle filter for Lorenz 63 model Drift Homotopy Implicit particle filter for Lorenz 63 model

3. Project: DHIPF training on Recurrent Neural Network for Natural Language Processing

4. Project: DHIPF training on RNN for Option Pricing.