Data-Driven Approximation of Stationary Nonlinear Filters with Optimal Transport Maps

Abstract: The nonlinear filtering problem is concerned with finding the conditional probability distribution (posterior) of the state of a stochastic dynamical system, given a history of partial and noisy observations. This paper presents a data-driven nonlinear filtering algorithm for the case when the state and observation processes are stationary. The posterior is approximated as the push-forward of an optimal transport (OT) map from a given distribution, that is easy to sample from, to the posterior conditioned on a truncated observation window. The OT map is obtained as the solution to a stochastic optimization problem that is solved offline using recorded trajectory data from the state and observations. An error analysis of the algorithm is presented under the stationarity and filter stability assumptions, which decomposes the error into two parts related to the truncation window during training and the error due to the optimization procedure. The performance of the proposed method, referred to as optimal transport data-driven filter (OT-DDF), is evaluated for several numerical examples, highlighting its significant computational efficiency during the online stage while maintaining the flexibility and accuracy of OT methods in nonlinear filtering.