The second workshop on numerical methods for solving the filtering problem and high order methods for solving parabolic PDEs

Imperial College London 

26-28 September 2011



The filtering problem consists in the estimation of an unknown current state of a dynamical system based on noisy observations. The solution of the filtering problem is a probability measure process which is the conditional distribution of the signal given all the information available at time t, that is given the observation path observed in the interval [0,t]. Under certain assumptions the conditional distribution of the signal satisfies a semi-linear stochastic partial differential equations of parabolic type. The aim of the workshop is to explore the recent advances on the numerical methods for solving the filtering problem and, in general, for solving (stochastic partial differential equations of parabolic type. The workshop is organized by Dan Crisan and Terry Lyons and is partially funded by the EPSRC (Grants No. EP/H000550/1 and EP/H001085/1).



Confirmed Participants:



Alex Beskos

Stefan Blackwood

Umut Cetin

Tony Cooray

Dan Crisan 

Joscha Diehl

Arnaud Doucet

Elena Ehrlich

Chris Farmer

Francois Le Gland

Lajos Gyurko

Boumediene Hamzi

Wang Han

Antoine Jacquier

Ajay Jasra 

Salvador Ortiz Latorre

Wonjung Lee

Peter Jan van Leeuwen


Kai Li

Nikolas Kantas

Aris Kountouriotis

Christian Litterer

Terry Lyons

Charles Marchetti

Simon Maskel

Joaquin Miguez

Ivo Mihaylov

Syoiti Ninomiya

Nicolas Perkowski

Chris Rogers

Ian  Roulstone 

Sylvain Rubenthaler

Andrew Stuart

Josef Teichmann

Michael Tretyakov

Richard Vinter






Monday 26 September


9.00-9.30 Registration and workshop opening

9.30-10.15 Andrew Stuart

Filtering The Navier-Stokes Equation

10.45-11.30 Arnaud Doucet

Particle Methods for Online Parameter Estimation in Non-linear

Non-Gaussian State-space Models

11.30-12.15 Joscha Diehl

Robust Filtering: Correlated Noise and Multidimensional Observation

14.00-14.45 Chris Farmer

A Bayesian Smoothing Filter for large-scale data assimilation

and parameter estimation

14.45-15.30 Michael Tretyakov

Numerical integration of Heath-Jarrow-Morton model of interest rates

16.15-17.00 Salvador Ortiz Latorre 

A new approximation algorithm to solve the filtering problem combining

Cubature and TBBA

18:30-21.00 Reception 


Tuesday 27 September


9.00-9.45 Josef Teichmann

Filtering affine processes

9.45-10.30 Francois Le Gland

Marginalization for rare event simulation in switching diffusions

11.00-11.45 Lajos Gyurko

Cubature on Wiener Space and Multilevel Monte-Carlo

11.45-12.30 Peter Jan van Leeuwen

Optimal proposal densities for Particle filters

14.00-14.45 Chris Rogers

Least-action filtering

14.45-15.30 Simon Maskel  

Using a Probabilistic Hypothesis Density filter to confirm tracks in a

multi-target environment


18.30-21.00 Conference Dinner 


Wednesday 28 September



9.00-9.45 Ajay Jasra

Sequential Monte Carlo Methods in High Dimensions

9.45-10.30 Alex Beskos

Sequential Monte Carlo methods in High Dimensions II

11.15-12.00 Joaquin Miguez  

Particle approximations of the filtering density and its derivates

for discrete-time state-space models

14.00-14.45 Wonjung Lee

Application of Cubature on Wiener space to high-dimensional filtering

14.45-15.30 Syoiti Ninomiya

Trials on extending high order weak approximation algorithms for SDEs

16.00-17.00 Open discussion





Additional information:

·         The workshop will take place in Room 139, Department of Mathematics, Huxley Building, Imperial College London, South Kensington Campus. 

·         All non-local participants will be housed in local hotels.

·         Anyone interested is welcome to attend.  However you need to send an e-mail to Magdalena Myc (m.myc “at” imperial.ac.uk) to confirm your attendance BEFORE 15 September 2011. 

 Maps and Instructions:


·         London Underground maps

·         Getting to Imperial College.


The simplest way to get here:

T                      Travel to the tube station Gloucester Road  (District, Circle, and Piccadilly Lines).  When you exit the station, turn left along Gloucester Road, crossing Cromwell Road 50 meters from the exit.  After 4-5 minutes walk along Gloucester Road, turn right to Queen's Gate Terrace. This is a short road leading directly to the entrance of the Huxley Building, at 180 Queen's Gate. Room 139 is on level 1.