Mathematics of Filtering and its Applications - Interdisciplinary workshop

[Number Crunchers Web Center]

Mathematics of Filtering and its Applications
13 - 15 July 2011 Brunel University

The first interdisciplinary workshop on the mathematics of filtering
and its applications will be held at Brunel University, UK from 13
July to 15 July 2011.

The problem of estimating the latent states of a dynamical system from
observed data often arises in many branches of physical and social
sciences, including image processing, navigation, econometrics,
finance and meteorology. Filtering refers to any method for obtaining
such state estimates, recursively in time, by combining model
predictions with noisy observations. While the solution to filtering
problem for a linear dynamic system is well understood and has been
studied extensively since 1960s, there is no single solution available
for filtering in nonlinear systems which outperforms all the other
possible solutions. For commonly occurring nonlinear model structures,
the conditional distribution is often given by solution of a
stochastic partial differential equation. This equation is usually
quite difficult to solve numerically and is intractable if we need a
solution in real time (as in the case of navigation applications) or
if the state dimension is very large (as in the case of meteorology).
Different Bayesian approximation methods exist for solving the
nonlinear filtering problem arising in different fields such as image
processing, meteorology and econometrics, each offering an application-
specific compromise between estimation accuracy, computational burden
and numerical robustness. Due to diversity of applications, the
researchers from different fields rarely have an opportunity to meet
to learn from each other about mathematical innovations in filtering
in their respective fields. The workshop on the mathematics of
filtering and its applications being organized at Brunel University
will bring together British researchers from different application
areas to share state-of-the-art knowledge about filtering in their
respective fields and to provide a platform for further research
interaction. The program for the workshop will include six invited
lectures, contributed sessions along multiple streams (such as
econometrics, bioinformatics and meteorology) and a conference dinner
on 14th July.

Brochure Download:
http://www.optirisk-systems.com/bdownload.php?file=MathematicsofFiltering.pdf