BibTeX

@article{2510.19283v1,
Author        = {Mohammad Al-Jarrah and Bamdad Hosseini and Niyizhen Jin and Michele Martino and Amirhossein Taghvaei},
Title         = {Error Analysis of Triangular Optimal Transport Maps for Filtering},
Eprint        = {2510.19283v1},
ArchivePrefix = {arXiv},
PrimaryClass  = {math.ST},
Abstract      = {We present a systematic analysis of estimation errors for a class of optimal
transport based algorithms for filtering and data assimilation. Along the way,
we extend previous error analyses of Brenier maps to the case of conditional
Brenier maps that arise in the context of simulation based inference. We then
apply these results in a filtering scenario to analyze the optimal transport
filtering algorithm of Al-Jarrah et al. (2024, ICML). An extension of that
algorithm along with numerical benchmarks on various non-Gaussian and
high-dimensional examples are provided to demonstrate its effectiveness and
practical potential.},
Year          = {2025},
Month         = {Oct},
Url           = {http://arxiv.org/abs/2510.19283v1},
File          = {2510.19283v1.pdf}
}