Systematic variational method for statistical nonlinear state and parameter estimation.

In statistical data assimilation one evaluates the conditional expected values, conditioned on measurements, of interesting quantities on the path of a model through observation and prediction windows. This often requires working with very high dimensional integrals in the discrete time descriptions of the observations and model dynamics, which become functional integrals in the continuous-time limit. Two familiar methods for performing these integrals include (1) Monte Carlo calculations and (2) variational approximations using the method of Laplace plus perturbative corrections to the dominant contributions.