A convergent scheme for the Bayesian filtering problem based on the Fokker–Planck equation and deep splitting

Preprint, 2024

A numerical scheme for approximating the nonlinear filtering density is introduced and its convergence rate is established, theoretically under a parabolic Hörmander condition, and empirically in numerical examples. In a prediction step, between the noisy and partial measurements at discrete times, the scheme approximates the Fokker--Planck equation with a deep splitting scheme, followed by an exact update through Bayes' formula. This results in a classical prediction-update filtering algorithm that operates online for new observation sequences post-training. The algorithm employs a sampling-based Feynman–Kac approach, designed to mitigate the curse of dimensionality. As a corollary we obtain the convergence rate for the approximation of the Fokker–Planck equation alone, disconnected from the filtering problem. The convergence analysis is complemented by a nonlinear 10-dimensional numerical example demonstrating the robustness of the method.