Bridge Simulation and Metric Estimation on Lie Groups

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We present a simulation scheme for simulating Brownian bridges on complete and connected Lie groups. We show how this simulation scheme leads to absolute continuity of the Brownian bridge measure with respect to the guided process measure. This result generalizes the Euclidean result of Delyon and Hu to Lie groups. We present numerical results of the guided process in the Lie group SO(3) . In particular, we apply importance sampling to estimate the metric on SO(3) using an iterative maximum likelihood method.
Original languageEnglish
Title of host publicationGeometric Science of Information : 5th International Conference, GSI 2021, Paris, France, July 21–23, 2021, Proceedings
PublisherSpringer
Publication date2021
Pages430-438
DOIs
Publication statusPublished - 2021
Event5th conference on Geometric Science of Information - GSI2021 - Paris, France
Duration: 21 Jul 202123 Jul 2021

Conference

Conference5th conference on Geometric Science of Information - GSI2021
LandFrance
ByParis
Periode21/07/202123/07/2021
SeriesLecture Notes in Computer Science
Volume12829
ISSN0302-9743

Links

ID: 274868930