This paper is concerned with the problem of nonlinear filtering, i.e., computing the conditional distribution of the state of a stochastic dynamical system given a history of noisy partial observations. Conventional sequential importance resampling (SIR) particle filters suffer from fundamental limitations, in scenarios involving degenerate likelihoods or high-dimensional states, due to the weight degeneracy issue. In this paper, we explore an alternative method, which is based on estimating the Brenier optimal transport (OT) map from the current prior distribution of the state to the posterior distribution at the next time step. Unlike SIR particle filters, the OT formulation does not require the analytical form of the likelihood. Moreover, it allows us to harness the approximation power of neural networks to model complex and multi-modal distributions and employ stochastic optimization algorithms to enhance scalability. Extensive numerical experiments are presented that compare the OT method to the SIR particle filter and the ensemble Kalman filter, evaluating the performance in terms of sample efficiency, high-dimensional scalability, and the ability to capture complex and multi-modal distributions.

We analyze the spectral clustering procedure for identifying coarse structure in a data set $\mathbf{x}_1, \dots, \mathbf{x}_n$, and in particular study the geometry of graph Laplacian embeddings which form the basis for spectral clustering algorithms. More precisely, we assume that the data are sampled from a mixture model supported on a manifold $\mathcal{M}$ embedded in $\mathbb{R}^d$, and pick a connectivity length-scale $\varepsilon>0$ to construct a kernelized graph Laplacian. We introduce a notion of a well-separated mixture model which only depends on the model itself, and prove that when the model is well separated, with high probability the embedded data set concentrates on cones that are centered around orthogonal vectors. Our results are meaningful in the regime where $\varepsilon = \varepsilon(n)$ is allowed to decay to zero at a slow enough rate as the number of data points grows. This rate depends on the intrinsic dimension of the manifold on which the data is supported.

Graph-based semi-supervised learning is the problem of propagating labels from a small number of labelled data points to a larger set of unlabelled data. This paper is concerned with the consistency of optimization-based techniques for such problems, in the limit where the labels have small noise and the underlying unlabelled data is well clustered. We study graph-based probit for binary classification, and a natural generalization of this method to multi-class classification using one-hot encoding. The resulting objective function to be optimized comprises the sum of a quadratic form defined through a rational function of the graph Laplacian, involving only the unlabelled data, and a fidelity term involving only the labelled data. The consistency analysis sheds light on the choice of the rational function defining the optimization.