The first interdisciplinary workshop on the mathematics of filtering and its applications will be held at Brunel University, UK from 13 July to 15 July 2011.

The problem of estimating the latent states of a dynamical system from observed data often arises in many branches of physical and social sciences, including image processing, navigation, econometrics, finance and meteorology. Filtering refers to any method for obtaining such state estimates, recursively in time, by combining model predictions with noisy observations. While the solution to filtering problem for a linear dynamic system is well understood and has been studied extensively since 1960s, there is no single solution available for filtering in nonlinear systems which outperforms all the other possible solutions. For commonly occurring nonlinear model structures, the conditional distribution is often given by solution of a stochastic partial differential equation. This equation is usually quite difficult
to solve numerically and is intractable if we need a solution in real time (as in the case of navigation applications) or if the state dimension is very large (as in the case of meteorology). Different Bayesian approximation methods exist for solving the nonlinear filtering problem arising in different fields such as image processing, meteorology and econometrics, each offering an application-specific compromise between estimation accuracy, computational burden and
numerical robustness. Due to diversity of applications, the researchers from different fields rarely have an opportunity to meet to learn from each other about mathematical innovations in filtering in their respective fields. The workshop on the mathematics of filtering and its applications being organized at Brunel University will bring together British researchers from different application areas to share state-of-the-art knowledge about filtering in their respective fields and to provide a platform for further research interaction. The program for the workshop will include six invited
lectures, contributed sessions along multiple streams (such as econometrics, bioinformatics and meteorology) and a conference dinner on 14th July.

13:45- 14:15   T. Lemke and S.J. Godsill, Monte Carlo for alpha-stable levy processes
14:15-14:45    T. Peng and M. Minozzo, Monte Carlo Filtering for some bi-variate marked doubly stochastic Poisson processes

09:45-10:15   L. Cattelani, C.E. Manfredotti and V. Messina, multiple object tracking with probabilistic relationships
10:15-10:45    M.W.M. Al-neama, Intelligent techniques in bioinformatics

13:15-13:45   R. D. Wilkinson and M. Vrettas, Quantifying forecast uncertainty in dynamical systems using the particle filter
13:45-14:15   S. Sidorov and V. Balash, Stochastic volatility model with an exogenous control news flow process
14:15-15:15   M. Campi, Interval Prediction models: Identification and reliability (60 minute session)

09:15-09:45   K. Ponomareva and P. Date, The higher order sigma point filter: a new heuristic for nonlinear time series filtering
09:45-10:15   K. Yuan and M. Niranjan, Inference in state-space model with point process observations: Algorithms and Applications
10:15-10:45   T. Yigit, Time varying co-integration and the Kalman  filter

13:15-13:45   M. Abdel-jawad and P. Date, Application of Kalman  filter for debt issuance optimization
13:45-14:15   R. Mamon, Estimation of an asset price model modulated by a higher order Markov chain
14:15-14:45   H. Christensen and J. Murphy, Algorithmic trading with particle filters

There is the opportunity to present a paper or simply to attend as a delegate.

Abstract submission

Please submit a single page abstract, including the title of the presentation, names and contact details of authors, as a PDF attachment. This can be sent along with the registration form, or it can be sent independently to info@optirisk-systems. com. Contributed presentations will be 20 minutes each, with 5 additional minutes for questions.

From West Drayton national rail station: Take 222 (alight Cowley Road), U5 (alight station Road) or U3 (alight Cleveland Road).

En-suite, on-campus bed and breakfast accommodation is available at Brunel. However, the candidates are advised to book this directly with Brunel Conference services, Brunel University, Uxbridge UB8 3PH (phone: +44 1895 238353, fax: +44 1895 269745, email: conference@brunel.ac.uk). While booking, please specify whether you will require an internet access. As of 20th May 2011, the charge for an En-suite room is £42.50 + VAT per night, including internet access (both in-room as well as on ‘guest-net’ PCs in the lecture centre).

Nearby off-campus accommodation options include:

1. The Red Lion Hotel Uxbridge (Hillingdon Road, 15 minutes walking distance), around £120 per night.  Website: http://www.fullershotels.com/rte.asp?id=18 .

2. Premier Inn Hayes, UB3 1JT (Uxbridge Road, 10 minutes by local bus 427, buses every 5-7 minutes), around £60 per night (room only). Website: www.premierinn.com .

3. Travelodge Uxbridge (Uxbridge tube station, 20 minutes walk or 5 minutes bus ride by bus A10, U4, 607 or 427, buses every 3-5 minutes), around £75 per night including breakfast. Website: www2.travelodge.co.uk/search_and_book/hotel_overview.php?hotel_id=365 .