Learning the Whole Filtering Distribution with Proper Scoring Rules
Our new PSEF framework learns calibrated ensemble filters from simulated trajectories without requiring the true filtering distribution as a training target.
Jun 25, 2026
Learning Probabilistic Filters with Strictly Proper Scoring Rules
The proper scoring ensemble filter (PSEF) learns an ensemble analysis operator that targets the complete Bayesian filtering distribution rather than only its conditional mean. The operator takes a forecast ensemble and a new observation as input and returns an analysis ensemble. A permutation-invariant transformer ensures that the result respects the exchangeability of ensemble members and can be evaluated at different ensemble sizes.
Jun 25, 2026